Related papers: Sparse Index Tracking Based On $L_{1/2}$ Model And…
Sparse index tracking is a prominent passive portfolio management strategy that constructs a sparse portfolio to track a financial index. A sparse portfolio is preferable to a full portfolio in terms of reducing transaction costs and…
In recent studies on sparse modeling, the nonconvex regularization approaches (particularly, $L_{q}$ regularization with $q\in(0,1)$) have been demonstrated to possess capability of gaining much benefit in sparsity-inducing and efficiency.…
We address the problem of partial index tracking, replicating a benchmark index using a small number of assets. Accurate tracking with a sparse portfolio is extensively studied as a classic finance problem. However in practice, a tracking…
Partial (replication) index tracking is a popular passive investment strategy. It aims to replicate the performance of a given index by constructing a tracking portfolio which contains some constituents of the index. The tracking error…
Regularization plays an important role in solving ill-posed problems by adding extra information about the desired solution, such as sparsity. Many regularization terms usually involve some vector norm, e.g., $L_1$ and $L_2$ norms. In this…
Inverse problems arise in a wide spectrum of applications in fields ranging from engineering to scientific computation. Connected with the rise of interest in inverse problems is the development and analysis of regularization methods, such…
In this paper, we propose $\ell_p$-norm regularized models to seek near-optimal sparse portfolios. These sparse solutions reduce the complexity of portfolio implementation and management. Theoretical results are established to guarantee the…
Recently, the $\l_{p}$-norm regularization minimization problem $(P_{p}^{\lambda})$ has attracted great attention in compressed sensing. However, the $\l_{p}$-norm $\|x\|_{p}^{p}$ in problem $(P_{p}^{\lambda})$ is nonconvex and…
This paper considers sparsity in linear regression under the restriction that the regression weights sum to one. We propose an approach that combines $\ell_0$- and $\ell_1$-regularization. We compute its solution by adapting a recent…
We study the construction and rebalancing of sparse index-tracking portfolios from an operational research perspective, with explicit emphasis on uncertainty quantification and implementability. The decision variables are portfolio weights…
In this paper, we consider a squared $L_1/L_2$ regularized model for sparse signal recovery from noisy measurements. We first establish the existence of optimal solutions to the model under mild conditions. Next, we propose a proximal…
The sparse portfolio selection problem is one of the most famous and frequently-studied problems in the optimization and financial economics literatures. In a universe of risky assets, the goal is to construct a portfolio with maximal…
We consider model selection and estimation for partial spline models and propose a new regularization method in the context of smoothing splines. The regularization method has a simple yet elegant form, consisting of roughness penalty on…
We consider a class of sparse learning problems in high dimensional feature space regularized by a structured sparsity-inducing norm which incorporates prior knowledge of the group structure of the features. Such problems often pose a…
For high-dimensional sparse parameter estimation problems, Log-Sum Penalty (LSP) regularization effectively reduces the sampling sizes in practice. However, it still lacks theoretical analysis to support the experience from previous…
$L_1$ regularization is used for finding sparse solutions to an underdetermined linear system. As sparse signals are widely expected in remote sensing, this type of regularization scheme and its extensions have been widely employed in many…
The pseudo-likelihood method is one of the most popular algorithms for learning sparse binary pairwise Markov networks. In this paper, we formulate the $L_1$ regularized pseudo-likelihood problem as a sparse multiple logistic regression…
The $\ell_{1\text{-}2}$ regularization method has a strong sparsity promoting capability in approaching sparse solutions of linear inverse problems and gained successful applications in various mathematics and applied science fields. This…
In this research, we introduce a novel methodology for the index tracking problem with sparse portfolios by leveraging topological data analysis (TDA). Utilizing persistence homology to measure the riskiness of assets, we introduce a…
Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy. In this paper, we address three sources of error related to the modeling of these complex systems: 1. oversimplifying hypothesis; 2.…