Modern heuristics or metaheuristics are optimization algorithms that have been increasingly
used during the last decades to support complex decision-making in a number of fields …

Mean-variance portfolios have been criticized because of unsatisfying out-of-sample
performance and the presence of extreme and unstable asset weights, especially when the …

Financial engineering and electrical engineering are seemingly different areas that share
strong underlying connections. Both areas rely on statistical analysis and modeling of …

We introduce a financial portfolio optimization framework that allows to automatically select
the relevant assets and estimate their weights by relying on a sorted ℓ 1-Norm penalization …

Abstract Accepted by: Giorgio Consigli The passive management approach offers
conservative investors a way to reduce risk concerning the market. This investment strategy …

Index tracking is the problem of building a portfolio that replicates the performance of a
market index. The recent applications involving deep learning in index tracking are more …

In the practical business environment, portfolio managers often face business-driven
requirements that limit the number of constituents in their tracking portfolio. A natural index …

When a portfolio consists of a large number of assets, it generally incorporates too many
small and illiquid positions and needs a large amount of rebalancing, which can involve …

A fast method based on coordinate-wise descent algorithms is developed to solve portfolio
optimization problems in which asset weights are constrained by lq norms for 1≤ q≤ 2. The …

Index tracking and hedge fund replication aim at cloning the return time series properties of
a given benchmark, by either using only a subset of its original constituents or by a set of risk …