Sparse portfolio selection via topological data analysis based clustering
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DOI: 10.1080/14697688.2025.2544762
Abstract: This paper uses topological data analysis (TDA) tools and introduces a data-driven clustering-based stock selection strategy tailored for sparse portfolio construction. Our asset selection strategy exploits the topological features of stock price movements to select… read more here.
Keywords: sparse portfolio; analysis; selection; data analysis ... See more keywords
A Scalable Algorithm for Sparse Portfolio Selection
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DOI: 10.1287/ijoc.2021.1127
Abstract: The sparse portfolio selection problem is one of the most famous and frequently studied problems in the optimization and financial economics literatures. In a universe of risky assets, the goal is to construct a portfolio… read more here.
Keywords: portfolio selection; portfolio; problem; sparse portfolio ... See more keywords
Robust and sparse portfolio model for index tracking
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DOI: 10.3934/jimo.2018082
Abstract: In the context of index tracking, the tracking error measures the difference between the return an investor receives and that of the benchmark he was attempting to imitate. In this paper, we use the weighted… read more here.
Keywords: robust sparse; index; portfolio model; sparse portfolio ... See more keywords