[图书][B] Modern nonconvex nondifferentiable optimization

Y Cui, JS Pang - 2021 - SIAM
Mathematical optimization has always been at the heart of engineering, statistics, and
economics. In these applied domains, optimization concepts and methods have often been …

Some new efficient mean–variance portfolio selection models

Z Dai, J Kang - International Journal of Finance & Economics, 2022 - Wiley Online Library
The poor out‐of‐sample performance of mean–variance portfolio model is mainly caused by
estimation errors in the covariance matrix and the mean return, especially the mean return …

Some improved sparse and stable portfolio optimization problems

Z Dai, F Wen - Finance Research Letters, 2018 - Elsevier
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 …

Sparse portfolio selection via the sorted ℓ1-Norm

PJ Kremer, S Lee, M Bogdan, S Paterlini - Journal of Banking & Finance, 2020 - Elsevier
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 …

An augmented Lagrangian method for non-Lipschitz nonconvex programming

X Chen, L Guo, Z Lu, JJ Ye - SIAM Journal on Numerical Analysis, 2017 - SIAM
We consider a class of constrained optimization problems where the objective function is a
sum of a smooth function and a nonconvex non-Lipschitz function. Many problems in sparse …

A generalized approach to sparse and stable portfolio optimization problem

Z Dai, F Wen - Journal of Industrial and Management Optimization, 2018 - aimsciences.org
In this paper, we firstly examine the relation between the portfolio weights norm constraints
method and the objective function regularization method in portfolio selection problems. We …

An efficient optimization approach for a cardinality-constrained index tracking problem

F Xu, Z Lu, Z Xu - Optimization Methods and Software, 2016 - Taylor & Francis
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 …

Dynamic multi-period sparse portfolio selection model with asymmetric investors' sentiments

J Wei, Y Yang, M Jiang, J Liu - Expert Systems with Applications, 2021 - Elsevier
Asymmetric investors' sentiments on returns and risks play an important role in updating the
portfolio strategies in multi-period portfolio selection problems. By introducing the Prospect …

Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection

Q Li, W Zhang, G Wang, Y Bai - Optimization Methods and …, 2023 - Taylor & Francis
In portfolio optimization, non-convex regularization has recently been recognized as an
important approach to promote sparsity, while countervailing the shortcomings of convex …

Sparse index clones via the sorted ℓ1-Norm

PJ Kremer, D Brzyski, M Bogdan, S Paterlini - Quantitative finance, 2022 - Taylor & Francis
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 …