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20152024
most citedAn efficient Hessian based algorithm for solving large-scale sparse group Lasso problems

54 citations · 76 across the 8 of their papers we have counts for

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q-fin.PM2024

Robust and Sparse Portfolio Selection: Quantitative Insights and Efficient Algorithms

J. Chen, S. D. Ahipaşaoğlu, N. Zhang +1

We extend the classical mean-variance (MV) framework and propose a robust and sparse portfolio selection model incorporating an ellipsoidal uncertainty set to reduce the impact of…