math.OC · 2026-09-11 · No. 112

Optimization and Control, 2026-09-11.

1 new papers in math.OC. Titles, authors, abstracts. Links to arXiv. Want this in your inbox every morning? Subscribe →

01 — The papers

1 entries
  1. 01

    Sparsity Regularized and Robust Mean Variance Portfolio Selection Under Ellipsoidal Uncertainty

    Deniz Akkaya, Emre Can Yayla, Buse Şen, Mustafa Ç. Pınar

    math.OC · cs.LG · stat.ML

    We investigate mean-variance portfolio selection with an $\ell_0$-penalty to promote sparsity in asset allocations. Uncertainty in the mean return vector is incorporated through an ellipsoidal uncertainty set, yielding a robust sparse optimization framework. We characterize the structure of both local and global minimizers and exploit these properties in the risk minimization and return maximization formulations. Building on this structural...

    arxiv.org/abs/2609.11749 · PDF

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