Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios

DOI10.1155/2020/2767231zbMath1459.91182OpenAlexW3042452684MaRDI QIDQ783138

Yipin Zhu, Fengwei Jiang, Yu Shi, Xia Zhao

Publication date: 30 July 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/2767231

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Uses Software

• glasso

Cites Work

• Unnamed Item
• Unnamed Item
• Sparse inverse covariance estimation with the graphical lasso
• A well-conditioned estimator for large-dimensional covariance matrices
• Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
• Conditional value-at-risk in portfolio optimization: coherent but fragile
• On the role of norm constraints in portfolio selection
• Enhancing sparsity by reweighted \(\ell _{1}\) minimization
• Covariance regularization by thresholding
• A robust approach based on conditional value-at-risk measure to statistical learning problems
• A mean-absolute deviation-skewness portfolio optimization model
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Adaptive covariance matrix estimation through block thresholding
• Constructing optimal sparse portfolios using regularization methods
• Calibrating nonconvex penalized regression in ultra-high dimension
• 60 years of portfolio optimization: practical challenges and current trends
• Coherent Measures of Risk
• A Well-Conditioned and Sparse Estimation of Covariance and Inverse Covariance Matrices Using a Joint Penalty
• Positive definite estimators of large covariance matrices
• Sparse and stable Markowitz portfolios
• A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
• Vast Portfolio Selection With Gross-Exposure Constraints
• Model Selection via Bayesian Information Criterion for Quantile Regression Models
• Mean-risk models using two risk measures: a multi-objective approach

This page was built for publication: Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios