Chen, Caihua; Li, Xindan; Tolman, Caleb; Wang, Suyang; … - arXiv.org - 2013
In this paper, we propose $\ell_p$-norm regularized models to seek near-optimal sparse portfolios. These sparse solutions reduce the complexity of portfolio implementation and management. Theoretical results are established to guarantee the sparsity of the second-order KKT points of the...