Sparse portfolio optimization via ℓ1 over ℓ2 regularization
Sparse portfolio optimization, which significantly boosts the out-of-sample performance of
traditional mean–variance methods, is widely studied in the fields of optimization and …
traditional mean–variance methods, is widely studied in the fields of optimization and …
[HTML][HTML] An asset subset-constrained minimax optimization framework for online portfolio selection
Effective online portfolio selection necessitates seamless integration of three key properties:
diversity, sparsity, and risk control. However, existing algorithms often prioritize one property …
diversity, sparsity, and risk control. However, existing algorithms often prioritize one property …
A General Framework for Nonconvex Sparse Mean-CVaR Portfolio Optimization Via ADMM
KX Sun, ZM Wu, N Wan - Journal of the Operations Research Society of …, 2024 - Springer
This paper presents a general framework for addressing sparse portfolio optimization
problems using the mean-CVaR (Conditional Value-at-Risk) model and regularization …
problems using the mean-CVaR (Conditional Value-at-Risk) model and regularization …
Deep Learning-Enabled Non-convex Optimization: Encoder-Decoder Forecasting and ADMM Solver
W Zhang, W Cao, J Ji - Proceedings of the International Conference on …, 2024 - dl.acm.org
In this paper, we introduce an innovative two-stage approach that utilizes deep learning
techniques to tackle non-convex investment strategy optimization challenges. Our …
techniques to tackle non-convex investment strategy optimization challenges. Our …
GA-MEPS: Multiple Experts Portfolio Selection Based on Genetic Algorithm
K Chao, J Peng, X Xiao, J Deng, H Yang… - … Conference on Knowledge …, 2024 - Springer
In the realm of online portfolio selection, aggregating multiple experts is crucial for improving
investment decisions in complex market conditions. However, existing methods often …
investment decisions in complex market conditions. However, existing methods often …
A Contrarian Trading Strategy: Mean vs. Median Reversion
S Chai, X Zheng - Proceedings of the 2023 7th International Conference …, 2023 - dl.acm.org
To optimize the total cumulative wealth, it needs to rebalance the portfolio on a period-by-
period basis, using previously published portfolio values. The median and mean reversion …
period basis, using previously published portfolio values. The median and mean reversion …
A Biased Non-Convex Optimization Algorithm based on Alternating Direction Method of Multipliers
W Zhang, W Cao, J Ji - Proceedings of the International Conference on …, 2024 - dl.acm.org
This paper introduces an innovative approach leveraging deep learning techniques to
empower the performance of investment models in the complex landscape of investment …
empower the performance of investment models in the complex landscape of investment …