Parameter uncertainty and estimation errors often cause the presence of unstable asset
weights and the poor performance of portfolio model. In addition, in the real world, most …

In this paper, we address the problem of long-term investment by exploring optimal
strategies for allocating wealth among a finite number of assets over multiple periods. Based …

Optimizing a stock portfolio from a given financial dataset is always a very attractive task, as
various factors should be considered. Hence, many methods based on evolutionary …

Optimisation problems in finance commonly have non‐linear constraints for which previous
solutions have required unrealistic assumptions. However, many of these can be efficiently …

We consider the l_1 l 1-regularized Markowitz model, where a l_1 l 1-penalty term is added
to the objective function of the classical mean-variance one to stabilize the solution process …

Portfolios employing a (factor) risk model are usually constructed using a two step process:
first, the risk model parameters are estimated, then the portfolio is constructed. Recent works …

In investment management, especially for automated investment services, it is critical for
portfolios to have a manageable number of assets and robust performance. First, portfolios …

This paper proposes a novel short-term sparse portfolio optimization (SSPO) model based
on ℓ 0-norm. Compared with existing approaches, this model selects the portfolio based on …

There has been much research about regularizing optimal portfolio selections through ℓ _1 ℓ
1 norm and/or ℓ _2 ℓ 2-norm squared. The common consensuses are (i) ℓ _1 ℓ 1 leads to …

Due to the uncertainty of the financial market and insufficient knowledge of investors, it is
very difficult for investors to determine the investment proportion. Therefore, we do some …