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math.OC2024
A Globally Optimal Portfolio for m-Sparse Sharpe Ratio Maximization
Yizun Lin, Zhao-Rong Lai, Cheng Li
The Sharpe ratio is an important and widely-used risk-adjusted return in financial engineering. In modern portfolio management, one may require an m-sparse (no more than m active a…
q-fin.PM2024
A Krasnoselskii-Mann Proximity Algorithm for Markowitz Portfolios with Adaptive Expected Return Level
Yizun Lin, Yongxin He, Zhao-Rong Lai
Markowitz's criterion aims to balance expected return and risk when optimizing the portfolio. The expected return level is usually fixed according to the risk appetite of an invest…
math.OC2024★ 1 cited
Autonomous Sparse Mean-CVaR Portfolio Optimization
Yizun Lin, Yangyu Zhang, Zhao-Rong Lai +1
The -constrained mean-CVaR model poses a significant challenge due to its NP-hard nature, typically tackled through combinatorial methods characterized by high computationa…