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math.OC2024
Sparse Extended Mean-Variance-CVaR Portfolios with Short-selling
Ahmad Mousavi, Maziar Salahi, Zois Boukouvalas
This paper introduces a novel penalty decomposition algorithm customized for addressing the non-differentiable and nonconvex problem of extended mean-variance-CVaR portfolio optimi…
math.OC2021
A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints
Ahmad Mousavi, Jinglai Shen
Mean-reverting portfolios with few assets, but high variance, are of great interest for investors in financial markets. Such portfolios are straightforwardly profitable because the…