Category: q-fin.PM

A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection arXiv:2505.10099v1 Announce Type: new Abstract: Portfolio optimization involves selecting asset weights to minimize a risk-reward objective, such as the portfolio variance in the classical minimum-variance framework. Sparse portfolio selection extends this by imposing a cardinality constraint: only $k$ assets from a universe of $p$ may…