Robust and Sparse Portfolio: Optimization Models and Algorithms

Robust and Sparse Portfolio: Optimization Models and Algorithms

The robust and sparse portfolio selection problem is one of the most-popular and -frequently studied problems in the optimization and financial literature. By considering the uncertainty of the parameters, the goal is to construct a sparse portfolio with low volatility and decent returns, subject to...

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Bibliographic Details
Main Authors: Hongxin Zhao, Yilun Jiang, Yizhou Yang
Format: Article
Language:English
Published: MDPI AG 2023-12-01
Series:Mathematics
Subjects:
portfolio optimization
robustness
sparsity
uncertainty set
penalty-alternating-direction method
Online Access:https://www.mdpi.com/2227-7390/11/24/4925

Internet

https://www.mdpi.com/2227-7390/11/24/4925

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