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Constructing optimal sparse portfolios using regularization methods

Citations

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Cited by:

  1. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
  2. Philipp J. Kremer & Andreea Talmaciu & Sandra Paterlini, 2018. "Risk minimization in multi-factor portfolios: What is the best strategy?," Annals of Operations Research, Springer, vol. 266(1), pages 255-291, July.
  3. Prayut Jain & Shashi Jain, 2019. "Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification," Risks, MDPI, vol. 7(3), pages 1-27, July.
  4. Martin Branda & Max Bucher & Michal Červinka & Alexandra Schwartz, 2018. "Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization," Computational Optimization and Applications, Springer, vol. 70(2), pages 503-530, June.
  5. David Neděla & Sergio Ortobelli & Tomáš Tichý, 2024. "Mean–variance vs trend–risk portfolio selection," Review of Managerial Science, Springer, vol. 18(7), pages 2047-2078, July.
  6. 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.
  7. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem," Annals of Operations Research, Springer, vol. 334(1), pages 133-155, March.
  8. Dai, Zhifeng & Wen, Fenghua, 2018. "Some improved sparse and stable portfolio optimization problems," Finance Research Letters, Elsevier, vol. 27(C), pages 46-52.
  9. N. Krejić & E. H. M. Krulikovski & M. Raydan, 2023. "A Low-Cost Alternating Projection Approach for a Continuous Formulation of Convex and Cardinality Constrained Optimization," SN Operations Research Forum, Springer, vol. 4(4), pages 1-24, December.
  10. Yen, Yu-Min & Yen, Tso-Jung, 2014. "Solving norm constrained portfolio optimization via coordinate-wise descent algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 737-759.
  11. Giovanni Bonaccolto, 2021. "Quantile– based portfolios: post– model– selection estimation with alternative specifications," Computational Management Science, Springer, vol. 18(3), pages 355-383, July.
  12. Hafner, Christian & Wang, Linqi, 2020. "Dynamic portfolio selection with sector-specific regularization," LIDAM Discussion Papers ISBA 2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  13. Wu, Zhongming & Sun, Kexin & Ge, Zhili & Allen-Zhao, Zhihua & Zeng, Tieyong, 2024. "Sparse portfolio optimization via ℓ1 over ℓ2 regularization," European Journal of Operational Research, Elsevier, vol. 319(3), pages 820-833.
  14. Margherita Giuzio & Sandra Paterlini, 2019. "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
  15. Wang, Christina Dan & Chen, Zhao & Lian, Yimin & Chen, Min, 2022. "Asset selection based on high frequency Sharpe ratio," Journal of Econometrics, Elsevier, vol. 227(1), pages 168-188.
  16. Zhifeng Dai & Jie Kang, 2022. "Some new efficient mean–variance portfolio selection models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4784-4796, October.
  17. Margherita Giuzio & Kay Eichhorn-Schott & Sandra Paterlini & Vincent Weber, 2018. "Tracking hedge funds returns using sparse clones," Annals of Operations Research, Springer, vol. 266(1), pages 349-371, July.
  18. Giovanni Bonaccolto, 2019. "Critical Decisions for Asset Allocation via Penalized Quantile Regression," Papers 1908.04697, arXiv.org.
  19. Mian Huang & Shangbing Yu & Weixin Yao, 2022. "Regularized Factor Portfolio for Cross-sectional Multifactor Models," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 427-449, August.
  20. Yu-Min Yen, 2016. "Sparse Weighted-Norm Minimum Variance Portfolios," Review of Finance, European Finance Association, vol. 20(3), pages 1259-1287.
  21. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2020. "Company classification using machine learning," Papers 2004.01496, arXiv.org, revised May 2020.
  22. Wolfgang Karl Härdle & David Kuo Chuen Lee & Sergey Nasekin & Alla Petukhina, 2018. "Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 49-63, January.
  23. 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.
  24. Taras Bodnar & Mathias Lindholm & Erik Thorsén & Joanna Tyrcha, 2021. "Quantile-based optimal portfolio selection," Computational Management Science, Springer, vol. 18(3), pages 299-324, July.
  25. Hafner, Christian M. & Wang, Linqi, 2024. "Dynamic portfolio selection with sector-specific regularization," Econometrics and Statistics, Elsevier, vol. 32(C), pages 17-33.
  26. Hiraki, Kazuhiro & Sun, Chuanping, 2022. "A toolkit for exploiting contemporaneous stock correlations," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 99-124.
  27. N'Golo Kone, 2021. "Efficient mean-variance portfolio selection by double regularization," Working Paper 1453, Economics Department, Queen's University.
  28. David Puelz & Carlos M. Carvalho & P. Richard Hahn, 2015. "Optimal ETF Selection for Passive Investing," Papers 1510.03385, arXiv.org, revised Nov 2015.
  29. Lesly Lisset Ortiz-Cerezo & Alin Andrei Carsteanu & Julio Bernardo Clempner, 2022. "Sharpe-Ratio Portfolio in Controllable Markov Chains: Analytic and Algorithmic Approach for Second Order Cone Programming," Mathematics, MDPI, vol. 10(18), pages 1-13, September.
  30. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
  31. Bernardo K. Pagnoncelli & Felipe del Canto & Arturo Cifuentes, 2021. "The effect of regularization in portfolio selection problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 156-176, April.
  32. Jyotirmayee Behera & Pankaj Kumar, 2024. "Implementation of machine learning in $$\ell _{\infty }$$ ℓ ∞ -based sparse Sharpe ratio portfolio optimization: a case study on Indian stock market," Operational Research, Springer, vol. 24(4), pages 1-26, December.
  33. 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.
  34. Sarat Moka & Matias Quiroz & Vali Asimit & Samuel Muller, 2025. "A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection," Papers 2505.10099, arXiv.org.
  35. Dai, Zhifeng & Wang, Fei, 2019. "Sparse and robust mean–variance portfolio optimization problems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1371-1378.
  36. Philipp J. Kremer & Sangkyun Lee & Malgorzata Bogdan & Sandra Paterlini, 2017. "Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm," Papers 1710.02435, arXiv.org.
  37. Kremer, Philipp J. & Lee, Sangkyun & Bogdan, Małgorzata & Paterlini, Sandra, 2020. "Sparse portfolio selection via the sorted ℓ1-Norm," Journal of Banking & Finance, Elsevier, vol. 110(C).
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