Numerical Solution of the Regularized Portfolio Selection Problem

Stefania Corsaro (), Valentina De Simone (), Zelda Marino () and Francesca Perla ()
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Stefania Corsaro: Università degli Studi di Napoli “Parthenope”, Dipartimento di Studi aziendali e quantitativi
Valentina De Simone: Università degli Studi della Campania “Luigi Vanvitelli”, Dipartimento di Matematica e Fisica
Zelda Marino: Università degli Studi di Napoli “Parthenope”, Dipartimento di Studi aziendali e quantitativi
Francesca Perla: Università degli Studi di Napoli “Parthenope”, Dipartimento di Studi aziendali e quantitativi

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 249-252 from Springer

Abstract: Abstract We investigate the use of Bregman iteration method for the solution of the portfolio selection problem, both in the single and in the multi-period case. Our starting point is the classical Markowitz mean-variance model, properly extended to deal with the multi-period case. The constrained optimization problem at the core of the model is typically ill-conditioned, due to correlation between assets. We consider l 1-regularization techniques to stabilize the solution process, since this has also relevant financial interpretations.

Keywords: Portfolio optimization; l 1 Regularization; Bregman iteration (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_45

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DOI: 10.1007/978-3-319-89824-7_45

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