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.
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Acknowledgements
This work was partially supported by the Research grant of Università Parthenope, DR no. 953, November 28th, 2016, and by INdAM-GNCS, under projects 2017 and 2018.
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Corsaro, S., Simone, V.D., Marino, Z., Perla, F. (2018). Numerical Solution of the Regularized Portfolio Selection Problem. In: Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-89824-7_45
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DOI: https://doi.org/10.1007/978-3-319-89824-7_45
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