A Scalable Algorithm for Sparse Portfolio Selection
Sign Up to like & getrecommendations! Published in 2022 at "INFORMS Journal on Computing"
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