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Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation

Citations

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Cited by:

  1. Wu, Ruike & Yang, Yanrong & Shang, Han Lin & Zhu, Huanjun, 2025. "Making distributionally robust portfolios feasible in high dimension," Journal of Econometrics, Elsevier, vol. 252(PA).
  2. William Lefebvre & Gregoire Loeper & Huy^en Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Papers 2009.08214, arXiv.org, revised Sep 2020.
  3. Zhongming Wu & Guoyu Xie & Zhili Ge & Valentina De Simone, 2024. "Nonconvex multi-period mean-variance portfolio optimization," Annals of Operations Research, Springer, vol. 332(1), pages 617-644, January.
  4. Willliam Lefebvre & Gregoire Loeper & Huyên Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Working Papers hal-02941289, HAL.
  5. Peter Nystrup & Stephen Boyd & Erik Lindström & Henrik Madsen, 2019. "Multi-period portfolio selection with drawdown control," Annals of Operations Research, Springer, vol. 282(1), pages 245-271, November.
  6. Goel, Anubha & Pasricha, Puneet & Kanniainen, Juho, 2026. "Risk reduced sparse index tracking portfolio: A topological data analysis approach," Omega, Elsevier, vol. 138(C).
  7. Wenpin Tang & Xiao Xu & Xun Yu Zhou, 2021. "Asset Selection via Correlation Blockmodel Clustering," Papers 2103.14506, arXiv.org, revised Aug 2021.
  8. Peter Nystrup & Henrik Madsen & Erik Lindström, 2018. "Dynamic portfolio optimization across hidden market regimes," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 83-95, January.
  9. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2021. "Sparse factor model based on trend filtering," Annals of Operations Research, Springer, vol. 306(1), pages 321-342, November.
  10. Andrew Butler & Roy H. Kwon, 2021. "Data-driven integration of norm-penalized mean-variance portfolios," Papers 2112.07016, arXiv.org, revised Nov 2022.
  11. Stefania Corsaro & Valentina De Simone & Zelda Marino & Francesca Perla, 2020. "$$l_1$$ l 1 -Regularization for multi-period portfolio selection," Annals of Operations Research, Springer, vol. 294(1), pages 75-86, November.
  12. Shi, Longyu & Wang, Yunyun & Li, Wenyue & Zhang, Zhimin, 2025. "Multi-period mean–variance portfolio optimization with capital injections," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 233(C), pages 400-412.
  13. Farshad Noravesh, 2022. "Sparse Non-Convex Optimization For Higher Moment Portfolio Management," Papers 2201.01227, arXiv.org, revised Jan 2022.
  14. Xu, Shuzhe & Zhang, Chuanlong & Hong, Don, 2022. "BERT-based NLP techniques for classification and severity modeling in basic warranty data study," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 57-67.
  15. Anubha Goel & Damir Filipovi'c & Puneet Pasricha, 2024. "Sparse Portfolio Selection via Topological Data Analysis based Clustering," Papers 2401.16920, arXiv.org, revised Dec 2024.
  16. Stefania Corsaro & Valentina De Simone & Zelda Marino & Salvatore Scognamiglio, 2022. "l 1 -Regularization in Portfolio Selection with Machine Learning," Mathematics, MDPI, vol. 10(4), pages 1-15, February.
  17. Yizun Lin & Yongxin He & Zhao-Rong Lai, 2024. "A Krasnoselskii-Mann Proximity Algorithm for Markowitz Portfolios with Adaptive Expected Return Level," Papers 2409.13608, arXiv.org, revised Nov 2024.
  18. Hongxin Zhao & Lingchen Kong & Hou-Duo Qi, 2021. "Optimal portfolio selections via $$\ell _{1, 2}$$ ℓ 1 , 2 -norm regularization," Computational Optimization and Applications, Springer, vol. 80(3), pages 853-881, December.
  19. repec:ers:journl:v:xxviii:y:2025:i:2:p:990-1003 is not listed on IDEAS
  20. Andrew Butler & Roy Kwon, 2021. "Efficient differentiable quadratic programming layers: an ADMM approach," Papers 2112.07464, arXiv.org.
  21. William Lefebvre & Grégoire Loeper & Huyên Pham, 2020. "Mean-Variance Portfolio Selection with Tracking Error Penalization," Mathematics, MDPI, vol. 8(11), pages 1-23, November.
  22. Stefania Corsaro & Valentina Simone, 2019. "Adaptive $$l_1$$ l 1 -regularization for short-selling control in portfolio selection," Computational Optimization and Applications, Springer, vol. 72(2), pages 457-478, March.
  23. Islip, David & Kwon, Roy H. & Kim, Seongmoon, 2025. "Integration of support vector machines and mean-variance optimization for capital allocation," European Journal of Operational Research, Elsevier, vol. 322(3), pages 1045-1058.
  24. Stefania Corsaro & Valentina De Simone, 2018. "Adaptive l1-regularization for short-selling control in portfolio selection," Papers 1808.00982, arXiv.org.
  25. Roujia Li & Jia Liu, 2022. "Online Portfolio Selection with Long-Short Term Forecasting," SN Operations Research Forum, Springer, vol. 3(4), pages 1-15, December.
  26. Andrew Butler & Roy H. Kwon, 2023. "Efficient differentiable quadratic programming layers: an ADMM approach," Computational Optimization and Applications, Springer, vol. 84(2), pages 449-476, March.
  27. Stefania Corsaro & Valentina De Simone & Zelda Marino, 2021. "Fused Lasso approach in portfolio selection," Annals of Operations Research, Springer, vol. 299(1), pages 47-59, April.
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