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Solving norm constrained portfolio optimization via coordinate-wise descent algorithms · Study

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ArticleSolving norm constrained portfolio optimization via coordinate-wise descent algorithms

Yu-Min Yen2013

Article2013

Solving norm constrained portfolio optimization via coordinate-wise descent algorithms

Yu-Min Yen · Tso-Jung Yen

59 citations·0/0 files stored·Computational Statistics & Data Analysis

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Statistical Methods and Inference

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 59 citations exist upstream.

References

1952PORTFOLIO SELECTION*2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms 1986Bayes-Stein Estimation for Portfolio Analysis 2007Optimal Portfolio Choice with Parameter Uncertainty 2009Sparse and stable Markowitz portfolios

Cited by

2015Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation

Details

Year2013

Typearticle

Published2013-08-09

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations59

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/j.csda.2013.07.010

openalex_workW2005120624

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