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Adaptive $$l_1$$ l 1 -regularization for short-selling control in portfolio selection
15 references·1 citing·35 second hop
Adaptive $$l_1$$ l 1 -regularization for short-selling control in portfolio selection (2018)Adaptive $$l_1$$ l 1 -regularization for …Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (2015)Weighted Elastic Net Penalize…Sparse and Stable Portfolio Selection With Parameter Uncertainty (2014)Sparse and Stable Portfolio S…Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (2014)Solving norm constrained port…Linear vs. quadratic portfolio selection models with hard real-world constraints (2014)Linear vs. quadratic portfoli…Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (2013)Solving norm constrained port…A new method for mean-variance portfolio optimization with cardinality constraints (2012)A new method for mean-varianc…A concave optimization-based approach for sparse portfolio selection (2011)A concave optimization-based …Optimal Portfolio Selection using Regularization (2010)Optimal Portfolio Selection u…Sparse and stable Markowitz portfolios (2009)Sparse and stable Markowitz p…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…On the use of optimization models for portfolio selection: A review and some computational results (1994)On the use of optimization mo…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Time-Varying Mean-Variance Portfolio Selection under Transaction Costs and Cardinality Constraint Problem via Beetle Antennae Search Algorithm (BAS) (2021)Time-Varying Mean-Variance Po…PORTFOLIO SELECTION* (1952)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)A large CVaR-based portfolio selection model with weight constraints (2016)Sparse and robust mean–variance portfolio optimization problems (2019)Optimization of conditional value-at-risk (2000)An artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for cardinality constrained portfolio optimization (2017)Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends (2019)Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization (2021)The distribution of realized stock return volatility (2001)Multi-period portfolio selection with drawdown control (2018)Multi-objective imprecise programming for financial portfolio selection with fuzzy returns (2019)Sparse portfolio selection via the sorted ℓ1-Norm (2019)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Vast Portfolio Selection With Gross-Exposure Constraints (2012)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)Financial news predicts stock market volatility better than close price (2018)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Profilio Selection Using the Adelais Multiobjective Linear Programming System (1998)Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming (2009)Multicriteria Portfolio Management (2012)The Cross-Section of Expected Stock Returns (1992)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)A Simplified Model for Portfolio Analysis (1963)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

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  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2009Sparse and stable Markowitz portfolios485 cited
  • 2012A new method for mean-variance portfolio optimization with cardinality constraints130 cited
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  • 2013Solving norm constrained portfolio optimization via coordinate-wise descent algorithms59 cited
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  • 2015Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation53 cited
  • 2010Optimal Portfolio Selection using Regularization41 cited
  • 2014Linear vs. quadratic portfolio selection models with hard real-world constraints39 cited
  • 2014Solving norm constrained portfolio optimization via coordinate-wise descent algorithms34 cited

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  • 2011A concave optimization-based approach for sparse portfolio selection33 cited
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    • 2021Time-Varying Mean-Variance Portfolio Selection under Transaction Costs and Cardinality Constraint Problem via Beetle Antennae Search Algorithm (BAS)28 cited