502 citations · 1.8k across the 42 of their papers we have counts for
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q-fin.PM2007★ 502 cited
Sparse and stable Markowitz portfolios
Joshua Brodie, Ingrid Daubechies, Christine De Mol +2
We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to…
math.NA2007★ 190 cited
Accelerated Projected Gradient Method for Linear Inverse Problems with Sparsity Constraints
I. Daubechies, M. Fornasier, I. Loris
Regularization of ill-posed linear inverse problems via penalization has been proposed for cases where the solution is known to be (almost) sparse. One way to obtain the m…