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Sparse portfolio selection via the sorted ℓ1-Norm · Study

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ArticleSparse portfolio selection via the sorted ℓ1-Norm

Philipp J. Kremer2019

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Articlebronze2019

Sparse portfolio selection via the sorted ℓ1-Norm

Philipp J. Kremer · Sangkyun Lee · Małgorzata Bogdan · Sandra Paterlini

63 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1997On Persistence in Mutual Fund Performance 1952PORTFOLIO SELECTION*2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1980On estimating the expected return on the market 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 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?2004Honey, I Shrunk the Sample Covariance Matrix

Cited by

2023Neural Networks for Portfolio Analysis in High-Frequency Trading 2021Robust enhanced indexation with ESG: An empirical study in the Chinese Stock Market 2024Artificial Neural Dynamics for Portfolio Allocation: An Optimization Perspective 2023Regularization methods for sparse ESG-valued multi-period portfolio optimization with return prediction using machine learning 2022A Novel Recurrent Neural Network Based Online Portfolio Analysis for High Frequency Trading

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2012On portfolio optimization: Imposing the right constraintsarticle · 12 shared references 2018Multi-period portfolio selection with drawdown controlarticle · 12 shared references 2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selectionarticle · 11 shared references 2014Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocksreport · 11 shared references 2015Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computationarticle · 11 shared references 2019Sparse and robust mean–variance portfolio optimization problemsarticle · 11 shared references

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Year2019

Typearticle

Published2019-11-06

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations63

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2019.105687

openalex_workW2761633770

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