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Numerical Solution of the Regularized Portfolio Selection Problem

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Stefania Corsaro

    (Università degli Studi di Napoli “Parthenope”, Dipartimento di Studi aziendali e quantitativi)

  • Valentina De Simone

    (Università degli Studi della Campania “Luigi Vanvitelli”, Dipartimento di Matematica e Fisica)

  • Zelda Marino

    (Università degli Studi di Napoli “Parthenope”, Dipartimento di Studi aziendali e quantitativi)

  • Francesca Perla

    (Università degli Studi di Napoli “Parthenope”, Dipartimento di Studi aziendali e quantitativi)

Abstract

We investigate the use of Bregman iteration method for the solution of the portfolio selection problem, both in the single and in the multi-period case. Our starting point is the classical Markowitz mean-variance model, properly extended to deal with the multi-period case. The constrained optimization problem at the core of the model is typically ill-conditioned, due to correlation between assets. We consider l 1-regularization techniques to stabilize the solution process, since this has also relevant financial interpretations.

Suggested Citation

  • Stefania Corsaro & Valentina De Simone & Zelda Marino & Francesca Perla, 2018. "Numerical Solution of the Regularized Portfolio Selection Problem," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 249-252, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_45
    DOI: 10.1007/978-3-319-89824-7_45
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