Solving norm constrained portfolio optimization via coordinate-wise descent algorithms

YenYu-Min · YenTso-Jung

34 citations0/0 files storedComputational Statistics & Data Analysis

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Risk and Portfolio Optimization Statistical Methods and Inference Stochastic Gradient Optimization Techniques

Abstract

A fast method based on coordinate-wise descent algorithms is developed to solve portfolio optimization problems in which asset weights are constrained by l q norms for 1 q 2 . The method is first a...

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2010High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation 2022Application of Robust Statistics to Asset Allocation Models 2015Sparse Weighted-Norm Minimum Variance Portfolios

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2018Adaptive $$l_1$$ l 1 -regularization for short-selling control in portfolio selection

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