Robust and Sparse Portfolio: Optimization Models and Algorithms - Zhao, Hongxin; Jiang, Yilun; Yang, Yizhou (Mathematics (Basel), 2023)
Keywords: Administrative expenses; Algorithms; Euclidean space; Investment analysis; Optimization; Optimization models; Parameter uncertainty; penalty-alternating-direction method; portfolio optimization; robustness; Robustness (mathematics); Short sales; Sparsity; uncertainty set; Volatility