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- W3173380940 abstract "<p style=text-indent:20px;>In this paper, we investigate sparse portfolio selection models with a regularized <inline-formula><tex-math id=M1>begin{document}$ l_p $end{document}</tex-math></inline-formula>-norm term <inline-formula><tex-math id=M2>begin{document}$ (0<pleq 1) $end{document}</tex-math></inline-formula> and negatively bounded shorting constraints. We obtain some basic properties of several linear <inline-formula><tex-math id=M3>begin{document}$ l_p $end{document}</tex-math></inline-formula>-sparse minimax portfolio models in terms of the regularization parameter. In particular, we introduce an <inline-formula><tex-math id=M4>begin{document}$ l_1 $end{document}</tex-math></inline-formula>-sparse minimax Sharpe ratio model by guaranteeing a positive denominator with a pre-selected parameter and design a parametric algorithm for finding its global solution. We carry out numerical experiments of linear <inline-formula><tex-math id=M5>begin{document}$ l_p $end{document}</tex-math></inline-formula>-sparse minimax portfolio models with 1200 stocks from Hang Seng Index, Shanghai Securities Composite Index, and NASDAQ Index and compare their performance with <inline-formula><tex-math id=M6>begin{document}$ l_p $end{document}</tex-math></inline-formula>-sparse mean-variance models. We test the effect of the regularization parameter and the negatively bounded shorting parameter on the level of sparsity, risk, and rate of return respectively and find that portfolios including fewer stocks of the linear <inline-formula><tex-math id=M7>begin{document}$ l_p $end{document}</tex-math></inline-formula>-sparse minimax models tend to have lower risks and lower rates of return. However, for the <inline-formula><tex-math id=M8>begin{document}$ l_p $end{document}</tex-math></inline-formula>-sparse mean-variance models, the corresponding changes are not so significant.</p>" @default.
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- W3173380940 date "2022-01-01" @default.
- W3173380940 modified "2023-10-18" @default.
- W3173380940 title "Sparse minimax portfolio and Sharpe ratio models" @default.
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- W3173380940 doi "https://doi.org/10.3934/jimo.2021111" @default.
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