Fused Lasso approach in portfolio selection

In this work we present a new model based on a fused Lasso approach for the multi-period portfolio selection problem in a Markowitz framework. In a multi-period setting, the investment period is partitioned into sub-periods, delimited by the rebalancing dates at which decisions are taken. The model...

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Vydané v:Annals of operations research Ročník 299; číslo 1-2; s. 47 - 59
Hlavní autori: Corsaro, Stefania, De Simone, Valentina, Marino, Zelda
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: New York Springer US 01.04.2021
Springer
Springer Nature B.V
Predmet:
Business and Management
Combinatorics
Costs
Data fusion
Investment policy
Investment strategy
Investors
Iterative methods
Methods
Operations research
Operations Research/Decision Theory
Optimization
Portfolio management
S.I.: Recent Developments in Financial Modeling and Risk Management
Selection methods (Regression analysis)
Sparsity
Theory of Computation
Italy
Multi-period portfolio optimization
90C30
65K05
91G10
Split Bregman
norm
Constrained optimization
ISSN:0254-5330, 1572-9338
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Shrnutí:In this work we present a new model based on a fused Lasso approach for the multi-period portfolio selection problem in a Markowitz framework. In a multi-period setting, the investment period is partitioned into sub-periods, delimited by the rebalancing dates at which decisions are taken. The model leads to a constrained optimization problem. Two l 1 penalty terms are introduced into the objective function to reduce the costs of the investment strategy. The former is applied to portfolio weights, encouraging sparse solutions. The latter is a penalization on the difference of wealth allocated across the assets between rebalancing dates, thus it preserves the pattern of active positions with the effect of limiting the number of transactions. We solve the problem by means of the Split Bregman iteration. We show results of numerical tests performed on real data to validate our model.
Bibliografia:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0254-5330
1572-9338
DOI:10.1007/s10479-019-03289-w