Search Results - subject:"Sparse portfolio"

Implementation of machine learning in 𝓁∞‑based sparse Sharpe ratio portfolio optimization : a case study on Indian stock market

Behera, Jyotirmayee; Kumar, Pankaj - In: Operational research : an international journal 24 (2024) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10015135777

Dynamic covariance matrix estimation and portfolio analysis with high-frequency data

Jiang, Binyan; Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491

Persistent link: https://www.econbiz.de/10014526333

Sparse portfolio optimization via ℓ1 over ℓ2 regularization

Wu, Zhongming; Sun, Kexin; Ge, Zhili; Allen-Zhao, Zhihua; … - In: European journal of operational research : EJOR 319 (2024) 3, pp. 820-833

Persistent link: https://www.econbiz.de/10015085058

A scalable algorithm for sparse portfolio selection

Bertsimas, Dimitris; Cory-Wright, Ryan - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 3, pp. 1489-1511

Persistent link: https://www.econbiz.de/10013361693

Efficient computation of mean reverting portfolios using cyclical coordinate descent

Griveau-Billion, T.; Calderhead, Ben - In: Quantitative finance 21 (2021) 4, pp. 673-684

Persistent link: https://www.econbiz.de/10012483845

Sparse and robust portfolio selection via semi-definite relaxation

Lee, Yongjae; Kim, Min Jeong; Kim, Jang Ho; Jang, Ju Ri; … - In: Journal of the Operational Research Society 71 (2020) 5, pp. 687-699

Persistent link: https://www.econbiz.de/10012216744

A linear programming model for selection of sparse high-dimensional multiperiod portfolios

Pun, Chi Seng; Wong, Hoi Ying - In: European journal of operational research : EJOR 273 (2019) 2, pp. 754-771

Persistent link: https://www.econbiz.de/10011987586

Sparse tangent portfolio selection via semi-definite relaxation

Kim, Min Jeong; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang - In: Operations research letters 44 (2016) 4, pp. 540-543

Persistent link: https://www.econbiz.de/10011535445

Sparse and stable Markowitz portfolios

Brodie, Joshua; Daubechies, Ingrid; De Mol, Christine; … - European Central Bank - 2008

We consider the problem of portfolio selection within the classical Markowitz meanvariance optimizing framework, which has served as the basis for modern portfolio theory for more than 50 years. Efforts to translate this theoretical foundation into a viable portfolio construction algorithm have...

Persistent link: https://www.econbiz.de/10005530685

Sparse and stable Markowitz portfolios

Brodie, Joshua; Daubechies, Ingrid; De Mol, Christine; … - 2008

Persistent link: https://www.econbiz.de/10011604982

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