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math.OC2026
Sparsity Regularized and Robust Mean Variance Portfolio Selection Under Ellipsoidal Uncertainty
Deniz Akkaya, Emre Can Yayla, Buse Şen +1
We investigate mean-variance portfolio selection with an -penalty to promote sparsity in asset allocations. Uncertainty in the mean return vector is incorporated through an…
math.OC2024
Separable Bregman Framework for Sparsity Constrained Nonlinear Optimization
Fatih Selim Aktas, Mustafa Celebi Pinar
This paper considers the minimization of a continuously differentiable function over a cardinality constraint. We focus on smooth and relatively smooth functions. These smoothness…