Nonconvex multi-period mean-variance portfolio optimization
From MaRDI portal
Publication:6596973
DOI10.1007/S10479-023-05524-XMaRDI QIDQ6596973
Guoyu Xie, Zhongming Wu, V. De Simone, Zhili Ge
Publication date: 3 September 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
portfolio optimizationalternating direction method of multipliersnonconvex penaltymean-variancemulti-period
Nonconvex programming, global optimization (90C26) Quadratic programming (90C20) Portfolio theory (91G10)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
- Nearly unbiased variable selection under minimax concave penalty
- Douglas-Rachford splitting for nonconvex optimization with application to nonconvex feasibility problems
- Proximal alternating linearized minimization for nonconvex and nonsmooth problems
- Algorithm for cardinality-constrained quadratic optimization
- On gradients of functions definable in o-minimal structures
- Heuristics for cardinality constrained portfolio optimization
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
- Sparse tangent portfolio selection via semi-definite relaxation
- Global convergence of ADMM in nonconvex nonsmooth optimization
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Convergence of descent methods for semi-algebraic and tame problems: proximal algorithms, forward-backward splitting, and regularized Gauss-Seidel methods
- A survey on some recent developments of alternating direction method of multipliers
- Cardinality-constrained risk parity portfolios
- Fused Lasso approach in portfolio selection
- Multi-period portfolio selection with drawdown control
- An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection
- Constructing optimal sparse portfolios using regularization methods
- Adaptive \(l_1\)-regularization for short-selling control in portfolio selection
- Robust multiobjective portfolio optimization: a set order relations approach
- Optimal multi-period mean-variance policy under no-shorting constraint
- Split Bregman iteration for multi-period mean variance portfolio optimization
- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
- Survey on multi-period mean-variance portfolio selection model
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Optimal cardinality constrained portfolio selection
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- Large-Scale Portfolio Optimization
- Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
- Numerical Optimization
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- A Symmetric Alternating Direction Method of Multipliers for Separable Nonconvex Minimization Problems
- Sparse Portfolios for High-Dimensional Financial Index Tracking
- Convergence of alternating direction method for minimizing sum of two nonconvex functions with linear constraints
- A Scalable Algorithm for Sparse Portfolio Selection
- The Proximal Alternating Direction Method of Multipliers in the Nonconvex Setting: Convergence Analysis and Rates
- Douglas--Rachford Splitting and ADMM for Nonconvex Optimization: Tight Convergence Results
- Cardinality versusq-norm constraints for index tracking
- Alternating Direction Method of Multipliers for a Class of Nonconvex and Nonsmooth Problems with Applications to Background/Foreground Extraction
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Sparse and risk diversification portfolio selection
This page was built for publication: Nonconvex multi-period mean-variance portfolio optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6596973)