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Improving Mean Variance Optimization through Sparse Hedging Restrictions

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Cited by:

  1. Tae-Hwy Lee & Ekaterina Seregina, 2024. "Optimal Portfolio Using Factor Graphical Lasso," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 670-695.
  2. Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
  3. Lim Hao Shen Keith, 2024. "Covariance Matrix Analysis for Optimal Portfolio Selection," Papers 2407.08748, arXiv.org.
  4. Ding, Wenliang & Shu, Lianjie & Gu, Xinhua, 2023. "A robust Glasso approach to portfolio selection in high dimensions," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 22-37.
  5. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2019. "Cross-validated covariance estimators for high-dimensional minimum-variance portfolios," Papers 1910.13960, arXiv.org, revised Oct 2020.
  6. Torri, Gabriele & Giacometti, Rosella & Paterlini, Sandra, 2018. "Robust and sparse banking network estimation," European Journal of Operational Research, Elsevier, vol. 270(1), pages 51-65.
  7. Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016. "Characteristics-based portfolio choice with leverage constraints," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 23-37.
  8. Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020. "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
  9. Ortiz, Roberto & Contreras, Mauricio & Mellado, Cristhian, 2023. "Regression, multicollinearity and Markowitz," Finance Research Letters, Elsevier, vol. 58(PC).
  10. Chen, Xin & Yang, Dan & Xu, Yan & Xia, Yin & Wang, Dong & Shen, Haipeng, 2023. "Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data," Journal of Econometrics, Elsevier, vol. 232(2), pages 544-564.
  11. Matthias M. M. Buehlmaier & Kit Pong Wong, 2020. "Should investors join the index revolution? Evidence from around the world," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 192-218, May.
  12. Qiao, W. & Bu, D. & Gibberd, A. & Liao, Y. & Wen, T. & Li, E., 2023. "When “time varying” volatility meets “transaction cost” in portfolio selection," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 220-237.
  13. Margherita Giuzio & Sandra Paterlini, 2019. "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
  14. Vigo Pereira, Caio, 2021. "Portfolio efficiency with high-dimensional data as conditioning information," International Review of Financial Analysis, Elsevier, vol. 77(C).
  15. Guillaume Coqueret, 2022. "Characteristics-driven returns in equilibrium," Papers 2203.07865, arXiv.org.
  16. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2021. "Cross-validated covariance estimators for high-dimensional minimum-variance portfolios," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 309-352, September.
  17. Bian, Zhicun & Liao, Yin & O’Neill, Michael & Shi, Jing & Zhang, Xueyong, 2020. "Large-scale minimum variance portfolio allocation using double regularization," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
  18. Pun, Chi Seng & Wong, Hoi Ying, 2019. "A linear programming model for selection of sparse high-dimensional multiperiod portfolios," European Journal of Operational Research, Elsevier, vol. 273(2), pages 754-771.
  19. Liu, Tingting & Lu, Zhongjin (Gene) & Shu, Tao & Wei, Fengrong, 2022. "Unique bidder-target relatedness and synergies creation in mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 73(C).
  20. Gabriele Torri & Rosella Giacometti & Sandra Paterlini, 2019. "Sparse precision matrices for minimum variance portfolios," Computational Management Science, Springer, vol. 16(3), pages 375-400, July.
  21. Avagyan, Vahe, 2016. "D-Trace precision matrix estimator with eigenvalue control," DES - Working Papers. Statistics and Econometrics. WS 23410, Universidad Carlos III de Madrid. Departamento de Estadística.
  22. Eric Benhamou & Beatrice Guez, 2021. "Computation of the marginal contribution of Sharpe ratio and other performance ratios," Working Papers hal-03189299, HAL.
  23. Yizun Lin & Yangyu Zhang & Zhao-Rong Lai & Cheng Li, 2024. "Autonomous Sparse Mean-CVaR Portfolio Optimization," Papers 2405.08047, arXiv.org.
  24. Arbia, Giuseppe & Bramante, Riccardo & Facchinetti, Silvia & Zappa, Diego, 2018. "Modeling inter-country spatial financial interactions with Graphical Lasso: An application to sovereign co-risk evaluation," Regional Science and Urban Economics, Elsevier, vol. 70(C), pages 72-79.
  25. Sakae Oya, 2022. "A Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 507-526, September.
  26. Mayoral, Silvia & Moreno, David & Zareei, Abalfazl, 2022. "Using a hedging network to minimize portfolio risk," Finance Research Letters, Elsevier, vol. 44(C).
  27. Vahe Avagyan & Andrés M. Alonso & Francisco J. Nogales, 2018. "D-trace estimation of a precision matrix using adaptive Lasso penalties," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 12(2), pages 425-447, June.
  28. Jing-Zhi Huang & Zhan Shi, 2023. "Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance," Management Science, INFORMS, vol. 69(3), pages 1780-1804, March.
  29. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2020. "Company classification using machine learning," Papers 2004.01496, arXiv.org, revised May 2020.
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