35 citations · 393 across the 62 of their papers we have counts for
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q-fin.PM2013★ 35 cited
Sparse Portfolio Selection via Quasi-Norm Regularization
Caihua Chen, Xindan Li, Caleb Tolman +2
In this paper, we propose -norm regularized models to seek near-optimal sparse portfolios. These sparse solutions reduce the complexity of portfolio implementation and mana…
math.OC2013★ 6 cited
Likelihood Robust Optimization for Data-driven Problems
Zizhuo Wang, Peter Glynn, Yinyu Ye
We consider optimal decision-making problems in an uncertain environment. In particular, we consider the case in which the distribution of the input is unknown, yet there is abunda…