Sparse portfolio selection with uncertain probability distribution-Reference-Cited by-同舟云学术

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Sparse portfolio selection with uncertain probability distribution

Published:2021-02-09 Issue:10 Volume:51 Page:6665-6684
ISSN:0924-669X
Container-title:Applied Intelligence
language:en
Short-container-title:Appl Intell

Author:

Huang Ripeng,Qu Shaojian,Yang Xiaoguang,Xu Fengmin,Xu Zeshui,Zhou Wei

Funder

National Natural Science Foundation of China

Publisher

Springer Science and Business Media LLC

Subject

Artificial Intelligence

Link

https://link.springer.com/content/pdf/10.1007/s10489-020-02161-w.pdf

Reference65 articles.

1. Markowitz H (1952) J Financ 7(1):77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x

2. Ogryczak W, Ruszczynski A (1999) From stochastic dominance to mean-risk models: Semideviations as risk measures. Eur J Oper Res 116(1):33–50. https://doi.org/10.1016/S0377-2217(98)00167-2

3. Rockafellar RT, Uryasev S (2000) Optimization of conditional value at risk. J Risk 3(3):21–41. https://doi.org/10.21314/JOR.2000.038

4. Ledoit O, Wolf M (2003) Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. J Empir Financ 10(5):603–621. https://doi.org/10.1016/S0927-5398(03)00007-0

5. Benati S, Rizzi R (2007) A mixed integer linear programming formulation of the optimal mean/value-at-risk portfolio problem. Eur J Oper Res 176(1):423–434. https://doi.org/10.1016/j.ejor.2005.07.020

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