Robust and Sparse Portfolio: Optimization Models and Algorithms

• Published in: Mathematics (Basel) Vol. 11; no. 24; p. 4925
• Main Authors: Zhao, Hongxin, Jiang, Yilun, Yang, Yizhou
• Format: Journal Article
• Language: English
• Published: Basel MDPI AG 01.12.2023
• Subjects: 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

The robust and sparse portfolio selection problem is one of the most-popular and -frequently studied problems in the optimization and financial literature. By considering the uncertainty of the parameters, the goal is to construct a sparse portfolio with low volatility and decent returns, subject to...