期刊论文

Wen, Fenghua

英文

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION

1547-5816

2018

14

4

1651-1666

10.3934/jimo.2018025

Acknowledgments. This research was supported by the NSF of China granted (71771030, 11301041, 71431008, 71371195, 71671018, 71471020, 71371065), Natural Science Foundation of Hunan Province(2015JJ3015), Scientific Research Fund of Hunan Provincial Education Department(16B005), and by Hunan International Economic and Project Management granted (17IEPM01). This research was supported by the NSF of China granted (71771030, 11301041, 71431008, 71371195, 71671018, 71471020, 71371065), Natural Science Foundation of Hunan Province(2015JJ3015), Scientific Research Fund of Hunan Provincial Education Department(16B005), and by Hunan International Economic and Project Management granted (17IEPM01).

本校为第一机构

In this paper, we firstly examine the relation between the portfolio weights norm constraints method and the objective function regularization method in portfolio selection problems. We find that the portfolio weights norm constrained method mainly tries to obtain stable portfolios, however, the objective function regularization method mainly aims at obtaining sparse portfolios. Then, we propose some general sparse and stable portfolio models by imposing both portfolio weights norm constraints and objective function L1 regularization term. Fina...