We apply a stochastic sequential quadratic programming (StoSQP) algorithm to solve
constrained nonlinear optimization problems, where the objective is stochastic and the …

Mean-reverting portfolios with volatility and sparsity constraints are of prime interest to
practitioners in finance since they are both profitable and well-diversified, while also …

Mean‐reverting portfolios with volatility and sparsity constraints are of prime interest to
practitioners in finance since they are both profitable and well‐diversified, while also …

The Standard Quadratic optimization Problem (StQP), arguably the simplest among all
classes of NP-hard optimization problems, consists of extremizing a quadratic form (the …

This paper introduces a novel penalty decomposition algorithm customized for addressing
the non-differentiable and nonconvex problem of extended mean-variance-CVaR portfolio …

This paper analyzes the statistical properties of constrained portfolio formation in a high
dimensional portfolio with a large number of assets. Namely, we consider portfolios with …

Estimation risk in portfolio selection can be mitigated with sparse approaches such as lasso
that penalizes for the norm of the portfolio weights and excludes assets from the investment …

We introduce a method to determine the investor's optimal portfolio size that maximizes the
expected out-of-sample utility under parameter uncertainty. This portfolio size trades off …

In portfolio optimization, efficiently managing large pools of assets while adhering to
cardinality constraints presents a significant challenge. We propose a novel portfolio …

ANALYTIC METHODS IN FINANCE WITH APPLICATIONS TO PORTFOLIO AND RISK
MANAGEMENT Page 1 ANALYTIC METHODS IN FINANCE WITH APPLICATIONS TO …