Sparse factor model based on trend filtering
暂无分享,去创建一个
[1] H. Yamada,et al. Japan’s output gap estimation and ℓ1 trend filtering , 2013 .
[2] John M. Mulvey,et al. Evaluating style investment—Does a fund market defined along equity styles add value? , 2009 .
[3] Murat Köksalan,et al. An interactive approach to stochastic programming-based portfolio optimization , 2014, Annals of Operations Research.
[4] Ryan J. Tibshirani,et al. Fast and Flexible ADMM Algorithms for Trend Filtering , 2014, ArXiv.
[5] What’s in Your Benchmark? A Factor Analysis of Major Market Indexes , 2018 .
[6] Frank J. Fabozzi,et al. Robust Factor-Based Investing , 2017, The Journal of Portfolio Management.
[7] Stephen P. Boyd,et al. 1 Trend Filtering , 2009, SIAM Rev..
[8] John M. Mulvey,et al. Machine learning, economic regimes and portfolio optimisation , 2018 .
[9] Stavros A. Zenios,et al. Scenario optimization asset and liability modelling for individual investors , 2007, Ann. Oper. Res..
[10] Mark M. Carhart. On Persistence in Mutual Fund Performance , 1997 .
[11] Jack Xin,et al. Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation , 2015, SIAM J. Financial Math..
[12] Jitka Dupacová,et al. Scenarios for Multistage Stochastic Programs , 2000, Ann. Oper. Res..
[13] Marianne Baxter,et al. Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series , 1995, Review of Economics and Statistics.
[14] M. Dempster,et al. Stochastic optimization methods in finance and energy : new financial products and energy market strategies , 2011 .
[15] E. Fama,et al. Common risk factors in the returns on stocks and bonds , 1993 .
[16] E. Fama,et al. International Tests of a Five-Factor Asset Pricing Model , 2015 .
[17] H. Yamada. Estimating the trend in US real GDP using the ℓ1 trend filtering , 2017 .
[18] Frederick E. Dopfel,et al. Optimal Blending of Smart Beta and Multifactor Portfolios , 2018 .
[19] Mike Staunton,et al. Factor-Based Investing: The Long-Term Evidence , 2017, The Journal of Portfolio Management.
[20] Michael J. Aked,et al. The Increasing Importance of Industry Factors , 2000 .
[21] R. Banz,et al. The relationship between return and market value of common stocks , 1981 .
[22] Andrew Ang. Asset Management , 2014, Information Security Governance.
[23] Mimicking Portfolios , 2018 .
[24] E. Prescott,et al. Postwar U.S. Business Cycles: An Empirical Investigation , 1997 .
[25] Javier Vidal-García,et al. Idiosyncratic risk and mutual fund performance , 2018, Ann. Oper. Res..
[26] R. Tibshirani. Adaptive piecewise polynomial estimation via trend filtering , 2013, 1304.2986.
[27] Optimal Portfolios from Simple Ranking Devices , 1978 .
[28] Yongjae Lee,et al. Personalized goal-based investing via multi-stage stochastic goal programming , 2019, Quantitative Finance.
[29] Yamada Hiroshi,et al. Selecting the tuning parameter of the ℓ1 trend filter , 2016 .
[30] Joseph A. Cerniglia,et al. Academic, Practitioner, and Investor Perspectives on Factor Investing , 2018 .
[31] E. Fama,et al. The Cross‐Section of Expected Stock Returns , 1992 .
[32] E. Fama,et al. Risk, Return, and Equilibrium: Empirical Tests , 1973, Journal of Political Economy.
[33] Sandra Paterlini,et al. Risk minimization in multi-factor portfolios: What is the best strategy? , 2018, Ann. Oper. Res..
[34] Ning Zhang,et al. An application of sparse-group lasso regularization to equity portfolio optimization and sector selection , 2020, Ann. Oper. Res..
[35] I. Daubechies,et al. Sparse and stable Markowitz portfolios , 2007, Proceedings of the National Academy of Sciences.
[36] John M. Mulvey,et al. Identifying Economic Regimes: Reducing Downside Risks for University Endowments and Foundations , 2016, The Journal of Portfolio Management.
[37] Alex Weissensteiner,et al. Financial planning for young households , 2013, Ann. Oper. Res..
[38] D. Melas,et al. Efficient Replication of Factor Returns: Theory and Applications , 2010, The Journal of Portfolio Management.
[39] E. Fama,et al. A Five-Factor Asset Pricing Model , 2014 .