Sparsity Regularized and Robust Mean Variance Portfolio Selection Under Ellipsoidal Uncertainty — Paper

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

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Official page: arxiv.org/abs/2609.11749
Source:arXiv (Atom API + RSS)T1observed 2 h agohigh
Arxiv announce type: cross
Source:arXiv (Atom API + RSS)T1observed 2 h agohigh
arXiv id: 2609.11749
Source:arXiv (Atom API + RSS)T1observed 2 h agohigh
Categories: math.OC, cs.LG, stat.ML
Source:arXiv (Atom API + RSS)T1observed 2 h agohigh
PDF: arxiv.org/pdf/2609.11749
Source:arXiv (Atom API + RSS)T1observed 2 h agohigh
Primary category: math.OC
Source:arXiv (Atom API + RSS)T1observed 2 h agohigh
Published: 11 Sept 2026
Source:arXiv (Atom API + RSS)T1observed 2 h agohigh

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T19

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2 h ago

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Authors: Deniz Akkaya, Emre Can Yayla, Buse \c{S}en

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Value	Valid from → to	Status	Source	Confidence	Extractor
Deniz Akkaya, Emre Can Yayla, Buse \c{S}en, Mustafa \c{C}. P{\i}nar	11 Sept 2026 21:02 UTC → 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 →

11 Sept 2026
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
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Source documents
Source	Document	Type	Tier	Last observed	Snapshots
arXiv (Atom API + RSS)	rss.arxiv.org/rss/cs.LG	feed	T1· Official	10 min ago	1

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