Sparse mean–variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov’s regularization penalty approach

Mathematics

• Portfolio Optimization 100%
• Customers 74%
• Penalty 67%
• Regularization 62%
• Markov chain 59%
• Optimization Problem 41%
• Expected Utility 39%
• Regularization Parameter 31%
• Optimal Portfolio 20%
• Gradient Projection Method 20%
• Extremal Point 19%
• Weighted Norm 17%
• Linear Optimization 17%
• Tikhonov Regularization 16%
• Number of Solutions 15%
• Term 15%
• Ill-posed Problem 15%
• Unique Solution 13%
• Least Squares 13%
• Exact Solution 11%
• Converge 9%
• Computing 9%
• Numerical Examples 8%

Engineering & Materials Science

• Markov chains 70%
• Gradient methods 21%