A novel regularization-based optimization approach to sparse mean-reverting portfolios selection-Reference-Cited by-同舟云学术

A novel regularization-based optimization approach to sparse mean-reverting portfolios selection

Published:2023-01-27 Issue:4 Volume:24 Page:2549-2577
ISSN:1389-4420
Container-title:Optimization and Engineering
language:en
Short-container-title:Optim Eng

Author:

Sadik Somaya,Et-tolba Mohamed,Nsiri Benayad

Publisher

Springer Science and Business Media LLC

Subject

Electrical and Electronic Engineering,Control and Optimization,Mechanical Engineering,Aerospace Engineering,Civil and Structural Engineering,Software

Link

https://link.springer.com/content/pdf/10.1007/s11081-022-09784-7.pdf

Reference34 articles.

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2. Benidis K, Feng Y, Palomar DP (2018) Sparse portfolios for high-dimensional financial index tracking. IEEE Trans Signal Process. https://doi.org/10.1109/TSP.2017.2762286

3. Box GE, Tiao GC (1977) A canonical analysis of multiple time series. Biometrika. https://doi.org/10.1093/biomet/64.2.355

4. Brodie J, Daubechies I, Mol CD, Giannone D, Loris I (2009) Sparse and stable Markowitz portfolios. Proc Natl Acad Sci USA. https://doi.org/10.1073/pnas.0904287106

5. Chen J, Dai G, Zhang N (2020) An application of sparse-group lasso regularization to equity portfolio optimization and sector selection. Ann Oper Res. https://doi.org/10.1007/s10479-019-03189-z

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