The Regularization Aspect of Optimal-Robust Conditional Value-at-Risk Portfolios.

Apostolos Fertis Michel Baes Hans-Jakob Lüthi

Published in: OR (2011)

Keyphrases

optimal solution
rank minimization
feature selection
prior information
half quadratic
data sets
cost function
worst case
computationally efficient
optimal design
regularization framework
norm minimization
early stopping