Emre Can Yayla

Sparsity Regularized and Robust Mean Variance Portfolio Selection Under Ellipsoidal Uncertainty

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 minimi...