Showing math.OCShow all
2 papers · 1 filter
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.OC2026
Multistage Conditional Compositional Optimization
Buse Şen, Yifan Hu, Daniel Kuhn
We introduce Multistage Conditional Compositional Optimization (MCCO) as a new paradigm for decision-making under uncertainty that combines aspects of multistage stochastic program…