Sparsity Regularized and Robust Mean Variance Portfolio Selection Under Ellipsoidal Uncertainty
Updated 1 h ago · first seen 11 Sept 2026
paper_01M294FRD7GVK4X5FD8YEBH9CX
- Published
- 11 Sept 2026
- T1 · 1 h ago
- arXiv
- 2609.11749
- T1 · 1 h ago
- Category
- math.OC
- T1 · 1 h ago
Abstract
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 insight, we develop a branch-and-bound algorithm tailored to the resulting robust sparse portfolio problems, together with a new pruning rule that can discard exponentially many candidate portfolios in a single step. Extensive computational experiments on real market data, together with comparisons against a mixed-integer second-order cone programming solver, demonstrate the effectiveness and competitiveness of the proposed approach.
Authors 4
Deniz Akkaya, Emre Can Yayla, Buse \c{S}en, Mustafa \c{C}. P{\i}nar
Specification
- Official page
Source:arXiv (Atom API + RSS)T1observed 1 h agohigh
- Arxiv announce type
- cross
Source:arXiv (Atom API + RSS)T1observed 1 h agohigh
- arXiv id
- 2609.11749
Source:arXiv (Atom API + RSS)T1observed 1 h agohigh
- Categories
- math.OC, cs.LG, stat.ML
Source:arXiv (Atom API + RSS)T1observed 1 h agohigh
Source:arXiv (Atom API + RSS)T1observed 1 h agohigh
- Primary category
- math.OC
Source:arXiv (Atom API + RSS)T1observed 1 h agohigh
- Published
- 11 Sept 2026
Source:arXiv (Atom API + RSS)T1observed 1 h agohigh
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Attributed facts
9
Source tiers
T19
Freshest observation
1 h ago
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None
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- Authors
- Deniz Akkaya, Emre Can Yayla, Buse \c{S}en
As of
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Claim history
Official pageofficial_url1
| Value | Valid from → to | Status | Source | Confidence | Extractor |
|---|---|---|---|---|---|
| https://arxiv.org/abs/2609.11749 | → current | current | arXiv (Atom API + RSS)T1 | high | deterministic |
Abstractabstract1
| Value | Valid from → to | Status | Source | Confidence | Extractor |
|---|---|---|---|---|---|
| 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 insight, we develop a branch-and-bound algorithm tailored to the resulting robust sparse portfolio problems, together with a new pruning rule that can discard exponentially many candidate portfolios in a single step. Extensive computational experiments on real market data, together with comparisons against a mixed-integer second-order cone programming solver, demonstrate the effectiveness and competitiveness of the proposed approach. | → current | current | arXiv (Atom API + RSS)T1 | high | deterministic |
Arxiv announce typearxiv_announce_type1
| Value | Valid from → to | Status | Source | Confidence | Extractor |
|---|---|---|---|---|---|
| cross | → current | current | arXiv (Atom API + RSS)T1 | high | deterministic |
arXiv idarxiv_id1
| Value | Valid from → to | Status | Source | Confidence | Extractor |
|---|---|---|---|---|---|
| 2609.11749 | → current | current | arXiv (Atom API + RSS)T1 | high | deterministic |
Categoriescategories1
| Value | Valid from → to | Status | Source | Confidence | Extractor |
|---|---|---|---|---|---|
| math.OC, cs.LG, stat.ML | → current | current | arXiv (Atom API + RSS)T1 | high | deterministic |
PDFpdf_url1
| Value | Valid from → to | Status | Source | Confidence | Extractor |
|---|---|---|---|---|---|
| https://arxiv.org/pdf/2609.11749 | → current | current | arXiv (Atom API + RSS)T1 | high | deterministic |
Primary categoryprimary_category1
| Value | Valid from → to | Status | Source | Confidence | Extractor |
|---|---|---|---|---|---|
| math.OC | → current | current | arXiv (Atom API + RSS)T1 | high | deterministic |
Publishedpublished_at1
| Value | Valid from → to | Status | Source | Confidence | Extractor |
|---|---|---|---|---|---|
| 11 Sept 2026 | → current | current | arXiv (Atom API + RSS)T1 | high | deterministic |
Claims are temporal and append-only: a new observation closes the previous claim (valid_to) instead of overwriting it. Conflicting claims from different sources are kept side by side and flagged — never averaged. Methodology →
- New paperPaperSparsity Regularized and Robust Mean Variance Portfolio Selection Under Ellipsoidal Uncertainty
New paper: Sparsity Regularized and Robust Mean Variance Portfolio Selection Under Ellipsoidal Uncertainty
arxiv
| Source | Document | Type | Tier | Last observed | Snapshots |
|---|---|---|---|---|---|
| arXiv (Atom API + RSS) | rss.arxiv.org/rss/cs.LG | feed | T1· Official | 1 h ago | 1 |
Tier 1 = official/primary, 2 = quality secondary, 3 = community, 4 = unverified. Every snapshot is archived; see all sources and the methodology.