Proximal linearized method for sparse equity portfolio optimization with minimum transaction cost

• Main Authors: Sim, Hong Seng, Ling, Wendy Shin Yie, Leong, Wah June, Chen, Chuei Yee
• Format: Article
• Language: English
• Published: SpringerOpen 2023
• Online Access: http://psasir.upm.edu.my/id/eprint/108776/1/Proximal%20linearized%20method%20for%20sparse%20equity.pdf; http://psasir.upm.edu.my/id/eprint/108776/; https://journalofinequalitiesandapplications.springeropen.com/articles/10.1186/s13660-023-03055-4
• Institution: Universiti Putra Malaysia

In this paper, we propose a sparse equity portfolio optimization model that aims at minimizing transaction cost by avoiding small investments while promoting diversification to help mitigate the volatility in the portfolio. The former is achieved by including the £₀ -norm regularization of the asset...