Construction, management, and performance of sparse Markowitz portfolios

DOI10.1515/snde-2012-0010zbMath1329.91124OpenAlexW3125380281MaRDI QIDQ905387

Julie Henriques, Juan-Pablo Ortega

Publication date: 19 January 2016

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0010

zbMATH Keywords

portfolio managementSharpe ratioportfolio selectionsparsitypenalized regressionMarkowitz portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

A novel regularization-based optimization approach to sparse mean-reverting portfolios selection

Uses Software

• CVX
• PDCO
• RiskMetrics

Cites Work

• Unnamed Item
• Smooth minimization of non-smooth functions
• Generalized autoregressive conditional heteroscedasticity
• Least angle regression. (With discussion)
• Atomic Decomposition by Basis Pursuit
• Graph Implementations for Nonsmooth Convex Programs
• Sparse and stable Markowitz portfolios
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Temporal Aggregation of Garch Processes
• A new approach to variable selection in least squares problems

This page was built for publication: Construction, management, and performance of sparse Markowitz portfolios