High-Dimensional Portfolio Selection with Cardinality Constraints-Reference-Cited by-同舟云学术

High-Dimensional Portfolio Selection with Cardinality Constraints

Published:2022-11-14 Issue: Volume: Page:1-13
ISSN:0162-1459
Container-title:Journal of the American Statistical Association
language:en
Short-container-title:Journal of the American Statistical Association

Author:

Du Jin-Hong¹^ORCID,Guo Yifeng²^ORCID,Wang Xueqin³^ORCID

Affiliation:

1. Department of Statistics and Data Science, Carnegie Mellon University, Pittsburgh, PA

2. Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong, China

3. School of Management, University of Science and Technology of China, Hefei, China

Funder

National Natural Science Foundation of China

the Key Research and Development Program of Guangdong, China

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/01621459.2022.2133718

Reference41 articles.

1. Asset pricing with liquidity risk

2. Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment

3. Andersen, M., Dahl, J., and Vandenberghe, L. (2021),Cvxopt: Python Software for Convex Optimization, version 1.2.6. Available at https://cvxopt.org.

4. Approaching Mean-Variance Efficiency for Large Portfolios

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Statistical proxy based mean‐reverting portfolios with sparsity and volatility constraints;International Transactions in Operational Research;2024-02-13

2. Optimal Portfolio Size under Parameter Uncertainty;2024