{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,15]],"date-time":"2026-06-15T22:50:02Z","timestamp":1781563802140,"version":"3.54.5"},"reference-count":62,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2025,6,22]],"date-time":"2025-06-22T00:00:00Z","timestamp":1750550400000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2025,6,22]],"date-time":"2025-06-22T00:00:00Z","timestamp":1750550400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Comput Manag Sci"],"published-print":{"date-parts":[[2025,12]]},"DOI":"10.1007\/s10287-025-00535-4","type":"journal-article","created":{"date-parts":[[2025,6,21]],"date-time":"2025-06-21T23:11:46Z","timestamp":1750547506000},"update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Sparse graphical modelling for global minimum variance portfolio"],"prefix":"10.1007","volume":"22","author":[{"given":"Riccardo","family":"Riccobello","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Giovanni","family":"Bonaccolto","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Philipp J.","family":"Kremer","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Piotr","family":"Sobczyk","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ma\u0142gorzata","family":"Bogdan","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Sandra","family":"Paterlini","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2025,6,22]]},"reference":[{"key":"535_CR1","first-page":"485","volume":"9","author":"O Banerjee","year":"2008","unstructured":"Banerjee O, Ghaoui LE, d\u2019Aspremont A (2008) Model selection through sparse maximum likelihood estimation for multivariate Gaussian or binary data. J Mach Learn Res 9:485\u2013516","journal-title":"J Mach Learn Res"},{"key":"535_CR2","doi-asserted-by":"publisher","first-page":"3","DOI":"10.1016\/0304-405x(81)90018-0","volume":"9","author":"RW Banz","year":"1981","unstructured":"Banz RW (1981) The relationship between return and market value of common stocks. J Financ Econ 9:3\u201318. https:\/\/doi.org\/10.1016\/0304-405x(81)90018-0","journal-title":"J Financ Econ"},{"key":"535_CR3","doi-asserted-by":"publisher","first-page":"371","DOI":"10.1016\/j.ejor.2017.09.028","volume":"266","author":"T Bodnar","year":"2018","unstructured":"Bodnar T, Parolya N, Schmid W (2018) Estimation of the global minimum variance portfolio in high dimensions. Eur J Oper Res 266:371\u2013390. https:\/\/doi.org\/10.1016\/j.ejor.2017.09.028","journal-title":"Eur J Oper Res"},{"key":"535_CR4","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1080\/07350015.2021.2004897","volume":"1","author":"T Bodnar","year":"2021","unstructured":"Bodnar T, Okhrin Y, Parolya N (2021) Optimal shrinkage-based portfolio selection in high dimensions. J Bus Econ Stat 1:1\u201317. https:\/\/doi.org\/10.1080\/07350015.2021.2004897","journal-title":"J Bus Econ Stat"},{"key":"535_CR5","first-page":"1","volume":"25","author":"T Bodnar","year":"2024","unstructured":"Bodnar T, Parolya N, Thors\u00e9n E (2024) Two is better than one: regularized shrinkage of large minimum variance portfolios. J Mach Learn Res 25:1\u201332","journal-title":"J Mach Learn Res"},{"key":"535_CR6","doi-asserted-by":"publisher","first-page":"1103","DOI":"10.1214\/15-aoas842","volume":"9","author":"M Bogdan","year":"2015","unstructured":"Bogdan M, van den Berg E, Sabatti C, Su W, Cand\u00e8s EJ (2015) SLOPE\u2014adaptive variable selection via convex optimization. Ann Appl Stat 9:1103\u20131140. https:\/\/doi.org\/10.1214\/15-aoas842","journal-title":"Ann Appl Stat"},{"key":"535_CR7","unstructured":"Bogdan M, van\u00a0den Berg E, Su W, Candes E (2013) Statistical estimation and testing via the sorted $$\\ell _1$$ norm. arXiv:1310.1969"},{"key":"535_CR8","doi-asserted-by":"crossref","unstructured":"Bogdan M, Frommlet F (2022) Identifying important predictors in large data bases\u2013multiple testing and model selection. In Cui X, Dickhaus T, Ding Y, Hsu JC, (ed), Handbook of Multiple Comparisons, pp 139-182","DOI":"10.1201\/9780429030888-7"},{"key":"535_CR9","doi-asserted-by":"publisher","first-page":"355","DOI":"10.1007\/s10287-021-00396-7","volume":"18","author":"G Bonaccolto","year":"2021","unstructured":"Bonaccolto G (2021) Quantile-based portfolios: post-model-selection estimation with alternative specifications. Comput Manag Sci 18:355\u2013383. https:\/\/doi.org\/10.1007\/s10287-021-00396-7","journal-title":"Comput Manag Sci"},{"key":"535_CR10","doi-asserted-by":"publisher","first-page":"322","DOI":"10.1016\/j.ejor.2021.06.037","volume":"298","author":"G Bonaccolto","year":"2022","unstructured":"Bonaccolto G, Caporin M, Maillet BB (2022) Dynamic large financial networks via conditional expected shortfalls. Eur J Oper Res 298:322\u2013336. https:\/\/doi.org\/10.1016\/j.ejor.2021.06.037","journal-title":"Eur J Oper Res"},{"key":"535_CR12","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1561\/2200000016","volume":"3","author":"S Boyd","year":"2011","unstructured":"Boyd S, Parikh N, Chu E, Peleato B, Eckstein J (2011) Distributed optimization and statistical learning via the alternating direction method of multipliers. Found Trends Mach Learn 3:1\u2013122. https:\/\/doi.org\/10.1561\/2200000016","journal-title":"Found Trends Mach Learn"},{"key":"535_CR13","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511804441","volume-title":"Convex optimization","author":"S Boyd","year":"2004","unstructured":"Boyd S, Vandenberghe L (2004) Convex optimization. Cambridge University Press, Cambridge"},{"key":"535_CR14","doi-asserted-by":"publisher","first-page":"986","DOI":"10.1002\/jae.2642","volume":"33","author":"C Brownlees","year":"2018","unstructured":"Brownlees C, Nualart E, Sun Y (2018) Realized networks. J Appl Econ 33:986\u20131006. https:\/\/doi.org\/10.1002\/jae.2642","journal-title":"J Appl Econ"},{"key":"535_CR15","doi-asserted-by":"publisher","first-page":"511","DOI":"10.1016\/j.jempfin.2012.04.010","volume":"19","author":"B Candelon","year":"2012","unstructured":"Candelon B, Hurlin C, Tokpavi S (2012) Sampling error and double shrinkage estimation of minimum variance portfolios. J Empir Finance 19:511\u2013527. https:\/\/doi.org\/10.1016\/j.jempfin.2012.04.010","journal-title":"J Empir Finance"},{"key":"535_CR16","doi-asserted-by":"publisher","first-page":"210","DOI":"10.1016\/j.jempfin.2020.10.003","volume":"59","author":"F Cesarone","year":"2020","unstructured":"Cesarone F, Mango F, Mottura CD, Ricci JM, Tardella F (2020) On the stability of portfolio selection models. J Empir Finance 59:210\u2013234. https:\/\/doi.org\/10.1016\/j.jempfin.2020.10.003","journal-title":"J Empir Finance"},{"key":"535_CR17","doi-asserted-by":"publisher","first-page":"171","DOI":"10.1111\/1467-9876.00057","volume":"46","author":"G Chan","year":"1997","unstructured":"Chan G, Wood ATA (1997) An algorithm for simulating stationary Gaussian random fields. J R Stat Soc C Appl Stat 46:171\u2013181. https:\/\/doi.org\/10.1111\/1467-9876.00057","journal-title":"J R Stat Soc C Appl Stat"},{"key":"535_CR18","doi-asserted-by":"publisher","first-page":"87","DOI":"10.1093\/jjfinec\/nbm019","volume":"6","author":"S Chen","year":"2008","unstructured":"Chen S (2008) Nonparametric estimation of expected shortfall. J Financ Economet 6:87\u2013107. https:\/\/doi.org\/10.1093\/jjfinec\/nbm019","journal-title":"J Financ Economet"},{"key":"535_CR19","doi-asserted-by":"publisher","first-page":"114","DOI":"10.1016\/j.jempfin.2015.05.003","volume":"33","author":"I-HE Chiang","year":"2008","unstructured":"Chiang I-HE (2008) Modern portfolio management with conditioning information. J Empir Finance 33:114\u2013134. https:\/\/doi.org\/10.1016\/j.jempfin.2015.05.003","journal-title":"J Empir Finance"},{"key":"535_CR20","doi-asserted-by":"publisher","first-page":"6","DOI":"10.1142\/9789814293501_0018","volume":"19","author":"VK Chopra","year":"1993","unstructured":"Chopra VK, Ziemba WT (1993) The effect of errors in means, variances, and covariances on optimal portfolio choice. J Portf Manag 19:6\u201311. https:\/\/doi.org\/10.1142\/9789814293501_0018","journal-title":"J Portf Manag"},{"key":"535_CR21","doi-asserted-by":"publisher","first-page":"223","DOI":"10.1080\/713665670","volume":"1","author":"R Cont","year":"2001","unstructured":"Cont R (2001) Empirical properties of asset returns: stylized facts and statistical issues. Quant Finance 1:223\u2013236. https:\/\/doi.org\/10.1080\/713665670","journal-title":"Quant Finance"},{"key":"535_CR22","doi-asserted-by":"publisher","first-page":"1915","DOI":"10.1093\/rfs\/hhm075","volume":"22","author":"V DeMiguel","year":"2009","unstructured":"DeMiguel V, Garlappi L, Uppal R (2009) Optimal versus naive diversification: how inefficient is the $$1\/N$$ portfolio strategy? Rev Financ Stud 22:1915\u20131953. https:\/\/doi.org\/10.1093\/rfs\/hhm075","journal-title":"Rev Financ Stud"},{"key":"535_CR23","doi-asserted-by":"publisher","first-page":"502","DOI":"10.1016\/j.jeconom.2020.07.013","volume":"222","author":"Y Ding","year":"2021","unstructured":"Ding Y, Li Y, Zheng X (2021) High dimensional minimum variance portfolio estimation under statistical factor models. J Econom 222:502\u2013515. https:\/\/doi.org\/10.1016\/j.jeconom.2020.07.013","journal-title":"J Econom"},{"key":"535_CR24","doi-asserted-by":"publisher","first-page":"363","DOI":"10.1080\/07350015.2017.1345683","volume":"37","author":"RF Engle","year":"2017","unstructured":"Engle RF, Ledoit O, Wolf M (2017) Large dynamic covariance matrices. J Bus Econ Stat 37:363\u2013375. https:\/\/doi.org\/10.1080\/07350015.2017.1345683","journal-title":"J Bus Econ Stat"},{"key":"535_CR26","doi-asserted-by":"crossref","unstructured":"Fan J, Zhang J, Yu K (2009) Asset allocation and risk assessment with gross exposure constraints for vast portfolios. arXiv0812.2604","DOI":"10.2139\/ssrn.1307423"},{"key":"535_CR27","doi-asserted-by":"publisher","first-page":"592","DOI":"10.1080\/01621459.2012.682825","volume":"107","author":"J Fan","year":"2012","unstructured":"Fan J, Zhang J, Yu K (2012) Vast portfolio selection with gross-exposure constraints. J Am Stat Assoc 107:592\u2013606. https:\/\/doi.org\/10.1080\/01621459.2012.682825","journal-title":"J Am Stat Assoc"},{"key":"535_CR28","doi-asserted-by":"publisher","first-page":"1057","DOI":"10.1214\/10-AOAS410","volume":"5","author":"M Finegold","year":"2011","unstructured":"Finegold M, Drton M (2011) Robust graphical modeling of gene networks using classical and alternative t-distributions. Ann Appl Stat 5:1057\u20131080. https:\/\/doi.org\/10.1214\/10-AOAS410","journal-title":"Ann Appl Stat"},{"key":"535_CR29","doi-asserted-by":"publisher","first-page":"41","DOI":"10.2469\/faj.v53.n4.2098","volume":"53","author":"KL Fisher","year":"1997","unstructured":"Fisher KL, Statman M (1997) The mean\u2013variance-optimization puzzle: security portfolios and food portfolios. Financ Anal J 53:41\u201350. https:\/\/doi.org\/10.2469\/faj.v53.n4.2098","journal-title":"Financ Anal J"},{"key":"535_CR30","doi-asserted-by":"publisher","first-page":"289","DOI":"10.1016\/j.jeconom.2010.07.007","volume":"159","author":"G Frahm","year":"2010","unstructured":"Frahm G, Memmel C (2010) Dominating estimators for minimum-variance portfolios. J Econom 159:289\u2013302. https:\/\/doi.org\/10.1016\/j.jeconom.2010.07.007","journal-title":"J Econom"},{"key":"535_CR31","doi-asserted-by":"publisher","first-page":"432","DOI":"10.1093\/biostatistics\/kxm045","volume":"9","author":"J Friedman","year":"2008","unstructured":"Friedman J, Hastie T, Tibshirani R (2008) Sparse inverse covariance estimation with the graphical lasso. Biostatistics 9:432\u2013441. https:\/\/doi.org\/10.1093\/biostatistics\/kxm045","journal-title":"Biostatistics"},{"key":"535_CR32","doi-asserted-by":"publisher","first-page":"223","DOI":"10.1111\/j.1475-6803.2010.01269.x","volume":"33","author":"D Giamouridis","year":"2010","unstructured":"Giamouridis D, Paterlini S (2010) Regular(ized) hedge fund clones. J Financ Res 33:223\u2013247. https:\/\/doi.org\/10.1111\/j.1475-6803.2010.01269.x","journal-title":"J Financ Res"},{"key":"535_CR33","doi-asserted-by":"publisher","first-page":"243","DOI":"10.1007\/s10203-017-0191-y","volume":"40","author":"M Giuzio","year":"2017","unstructured":"Giuzio M (2017) Genetic algorithm versus classical methods in sparse index tracking. Decis Econ Finance 40:243\u2013256. https:\/\/doi.org\/10.1007\/s10203-017-0191-y","journal-title":"Decis Econ Finance"},{"key":"535_CR34","doi-asserted-by":"publisher","first-page":"349","DOI":"10.1007\/s10479-016-2371-5","volume":"266","author":"M Giuzio","year":"2016","unstructured":"Giuzio M, Eichhorn-Schott K, Paterlini S, Weber V (2016) Tracking hedge funds returns using sparse clones. Ann Oper Res 266:349\u2013371. https:\/\/doi.org\/10.1007\/s10479-016-2371-5","journal-title":"Ann Oper Res"},{"key":"535_CR35","doi-asserted-by":"publisher","first-page":"251","DOI":"10.1016\/j.ejor.2015.08.056","volume":"250","author":"M Giuzio","year":"2016","unstructured":"Giuzio M, Ferrari D, Paterlini S (2016) Sparse and robust normal and t- portfolios by penalized lq-likelihood minimization. Eur J Oper Res 250:251\u2013261. https:\/\/doi.org\/10.1016\/j.ejor.2015.08.056","journal-title":"Eur J Oper Res"},{"key":"535_CR36","doi-asserted-by":"publisher","first-page":"401","DOI":"10.1007\/s10287-018-0340-y","volume":"16","author":"M Giuzio","year":"2018","unstructured":"Giuzio M, Paterlini S (2018) Un-diversifying during crises: is it a good idea? Comput Manag Sci 16:401\u2013432. https:\/\/doi.org\/10.1007\/s10287-018-0340-y","journal-title":"Comput Manag Sci"},{"key":"535_CR37","doi-asserted-by":"publisher","first-page":"1415","DOI":"10.1017\/S0022109015000526","volume":"50","author":"S Goto","year":"2015","unstructured":"Goto S, Xu Y (2015) Improving mean variance optimization through sparse hedging restrictions. J Financ Quant Anal 50:1415\u20131441. https:\/\/doi.org\/10.1017\/S0022109015000526","journal-title":"J Financ Quant Anal"},{"key":"535_CR38","volume-title":"Options, Futures, and other Derivatives","author":"J. C. Hull","year":"2018","unstructured":"Hull J (2018) Options, futures, and other derivatives. Pearson, London"},{"key":"535_CR39","doi-asserted-by":"publisher","first-page":"1651","DOI":"10.1111\/1540-6261.00580","volume":"58","author":"R Jagannathan","year":"2003","unstructured":"Jagannathan R, Ma T (2003) Risk reduction in large portfolios: why imposing the wrong constraints helps. J Finance 58:1651\u20131683. https:\/\/doi.org\/10.1111\/1540-6261.00580","journal-title":"J Finance"},{"key":"535_CR40","doi-asserted-by":"publisher","first-page":"282","DOI":"10.1016\/j.jempfin.2016.01.008","volume":"37","author":"I Karagiannidis","year":"2016","unstructured":"Karagiannidis I, Vozlyublennaia N (2016) Limits to mutual funds\u2019 ability to rely on mean\/variance optimization. J Empir Finance 37:282\u2013292. https:\/\/doi.org\/10.1016\/j.jempfin.2016.01.008","journal-title":"J Empir Finance"},{"key":"535_CR41","doi-asserted-by":"publisher","first-page":"89","DOI":"10.1016\/0304-405X(77)90031-9","volume":"5","author":"RW Klein","year":"1977","unstructured":"Klein RW, Bawa VS (1977) The effect of limited information and estimation risk on optimal portfolio diversification. J Financ Econ 5:89\u2013111. https:\/\/doi.org\/10.1016\/0304-405X(77)90031-9","journal-title":"J Financ Econ"},{"key":"535_CR42","doi-asserted-by":"publisher","first-page":"356","DOI":"10.1016\/j.ejor.2013.10.060","volume":"234","author":"PN Kolm","year":"2014","unstructured":"Kolm PN, T\u00fct\u00fcnc\u00fc R, Fabozzi FJ (2014) 60 years of portfolio optimization: Practical challenges and current trends. Eur J Oper Res 234:356\u2013371. https:\/\/doi.org\/10.1016\/j.ejor.2013.10.060","journal-title":"Eur J Oper Res"},{"key":"535_CR43","doi-asserted-by":"publisher","first-page":"349","DOI":"10.1080\/14697688.2021.1962539","volume":"22","author":"PJ Kremer","year":"2021","unstructured":"Kremer PJ, Brzyski D, Bogdan M, Paterlini S (2021) Sparse index clones via the sorted $$\\ell$$1-norm. Quant Finance 22:349\u2013366. https:\/\/doi.org\/10.1080\/14697688.2021.1962539","journal-title":"Quant Finance"},{"key":"535_CR44","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2019.105687","volume":"110","author":"PJ Kremer","year":"2020","unstructured":"Kremer PJ, Lee S, Bogdan M, Paterlini S (2020) Sparse portfolio selection via the sorted $$\\ell$$1-norm. J Bank Financ 110:105687. https:\/\/doi.org\/10.1016\/j.jbankfin.2019.105687","journal-title":"J Bank Financ"},{"key":"535_CR45","doi-asserted-by":"publisher","first-page":"1467","DOI":"10.1103\/PhysRevLett.83.1467","volume":"83","author":"L Laloux","year":"1999","unstructured":"Laloux L, Cizeau P, Bouchaud J-P, Potters M (1999) Noise dressing of financial correlation matrices. Phys Rev Lett 83:1467\u20131470. https:\/\/doi.org\/10.1103\/PhysRevLett.83.1467","journal-title":"Phys Rev Lett"},{"key":"535_CR46","doi-asserted-by":"publisher","first-page":"603","DOI":"10.1016\/S0927-5398(03)00007-0","volume":"10","author":"O Ledoit","year":"2003","unstructured":"Ledoit O, Wolf M (2003) Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. J Empir Finance 10:603\u2013621. https:\/\/doi.org\/10.1016\/S0927-5398(03)00007-0","journal-title":"J Empir Finance"},{"key":"535_CR47","doi-asserted-by":"publisher","first-page":"110","DOI":"10.3905\/jpm.2004.110","volume":"30","author":"O Ledoit","year":"2004","unstructured":"Ledoit O, Wolf M (2004) Honey, I shrunk the covariance matrix. J Portf Manag 30:110\u2013119. https:\/\/doi.org\/10.3905\/jpm.2004.110","journal-title":"J Portf Manag"},{"key":"535_CR48","doi-asserted-by":"publisher","first-page":"850","DOI":"10.1016\/j.jempfin.2008.03.002","volume":"15","author":"O Ledoit","year":"2008","unstructured":"Ledoit O, Wolf M (2008) Robust performance hypothesis testing with the Sharpe ratio. J Empir Finance 15:850\u2013859. https:\/\/doi.org\/10.1016\/j.jempfin.2008.03.002","journal-title":"J Empir Finance"},{"key":"535_CR49","doi-asserted-by":"publisher","first-page":"86","DOI":"10.1002\/wilm.10036","volume":"55","author":"O Ledoit","year":"2011","unstructured":"Ledoit O, Wolf M (2011) Robust performances hypothesis testing with the variance. Wilmott Technical Paper 55:86\u201389","journal-title":"Wilmott Technical Paper"},{"key":"535_CR50","doi-asserted-by":"publisher","first-page":"4349","DOI":"10.1093\/rfs\/hhx052","volume":"30","author":"O Ledoit","year":"2017","unstructured":"Ledoit O, Wolf M (2017) Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets goldilocks rev. Financ Stud 30:4349\u20134388. https:\/\/doi.org\/10.1093\/rfs\/hhx052","journal-title":"Financ Stud"},{"key":"535_CR51","doi-asserted-by":"publisher","first-page":"1665","DOI":"10.1080\/07350015.2021.1961787","volume":"40","author":"G Li","year":"2022","unstructured":"Li G, Huang L, Yang J, Zhang W (2022) A synthetic regression model for large portfolio allocation. J Bus Econ Stat 40:1665\u20131677. https:\/\/doi.org\/10.1080\/07350015.2021.1961787","journal-title":"J Bus Econ Stat"},{"key":"535_CR52","doi-asserted-by":"publisher","first-page":"381","DOI":"10.1080\/07350015.2014.954708","volume":"33","author":"J Li","year":"2015","unstructured":"Li J (2015) Sparse and stable portfolio selection with parameter uncertainty. J Bus Econ Stat 33:381\u2013392. https:\/\/doi.org\/10.1080\/07350015.2014.954708","journal-title":"J Bus Econ Stat"},{"key":"535_CR53","doi-asserted-by":"publisher","first-page":"77","DOI":"10.2307\/2975974","volume":"7","author":"HM Markowitz","year":"1952","unstructured":"Markowitz HM (1952) Portfolio Selection. J Finance 7:77\u201391. https:\/\/doi.org\/10.2307\/2975974","journal-title":"J Finance"},{"key":"535_CR54","first-page":"323","volume":"4","author":"RC Merton","year":"1980","unstructured":"Merton RC (1980) On estimating the expected return on the market: an exploratory investigation. Techn Rep 4:323","journal-title":"Techn Rep"},{"key":"535_CR55","doi-asserted-by":"publisher","first-page":"867","DOI":"10.2307\/1913811","volume":"41","author":"RC Merton","year":"1973","unstructured":"Merton RC (1973) An intertemporal capital asset pricing model. Econometrica 41:867\u2013887. https:\/\/doi.org\/10.2307\/1913811","journal-title":"Econometrica"},{"key":"535_CR56","doi-asserted-by":"publisher","first-page":"31","DOI":"10.2469\/faj.v45.n1.31","volume":"45","author":"RO Michaud","year":"1989","unstructured":"Michaud RO (1989) The Markowitz optimization enigma: is \u2018optimized\u2019 optimal? Financ Anal J 45:31\u201342. https:\/\/doi.org\/10.2469\/faj.v45.n1.31","journal-title":"Financ Anal J"},{"key":"535_CR57","volume-title":"Machine learning: a probabilistic perspective","author":"KP Murphy","year":"2012","unstructured":"Murphy KP (2012) Machine learning: a probabilistic perspective. The MIT Press, Cambridge"},{"key":"535_CR58","first-page":"1","volume":"21","author":"E Pircalabelu","year":"2020","unstructured":"Pircalabelu E, Claeskens G (2020) Community-based group graphical lasso. J Mach Learn Res 21:1\u201332","journal-title":"J Mach Learn Res"},{"key":"535_CR59","doi-asserted-by":"publisher","first-page":"494","DOI":"10.1214\/08-EJS176","volume":"2","author":"AJ Rothman","year":"2008","unstructured":"Rothman AJ, Bickel PJ, Levina E, Zhu J (2008) Sparse permutation invariant covariance estimation. Electron J Stat 2:494\u2013515. https:\/\/doi.org\/10.1214\/08-EJS176","journal-title":"Electron J Stat"},{"key":"535_CR60","doi-asserted-by":"crossref","unstructured":"Scheinberg K, Ma S, Goldfarb D (2010) Sparse inverse covariance selection via alternating linearization methods. arXiv:1011.0097v1","DOI":"10.7551\/mitpress\/8996.003.0019"},{"key":"535_CR61","doi-asserted-by":"publisher","first-page":"1373","DOI":"10.1007\/BF01085007","volume":"34","author":"C Stein","year":"1986","unstructured":"Stein C (1986) Lectures on the theory of estimation of many parameters. J Math Sci 34:1373\u20131403","journal-title":"J Math Sci"},{"key":"535_CR62","doi-asserted-by":"publisher","first-page":"267","DOI":"10.1111\/j.2517-6161.1996.tb02080.x","volume":"58","author":"R Tibshirani","year":"1996","unstructured":"Tibshirani R (1996) Regression shrinkage and selection via the lasso. J R Stat Soc Ser B Methodol 58:267\u2013288. https:\/\/doi.org\/10.1111\/j.2517-6161.1996.tb02080.x","journal-title":"J R Stat Soc Ser B Methodol"},{"key":"535_CR63","doi-asserted-by":"publisher","first-page":"51","DOI":"10.1016\/j.ejor.2018.03.041","volume":"270","author":"G Torri","year":"2018","unstructured":"Torri G, Giacometti R, Paterlini S (2018) Robust and sparse banking network estimation. Eur J Oper Res 270:51\u201365. https:\/\/doi.org\/10.1016\/j.ejor.2018.03.041","journal-title":"Eur J Oper Res"},{"key":"535_CR64","doi-asserted-by":"publisher","first-page":"375","DOI":"10.1007\/s10287-019-00344-6","volume":"16","author":"G Torri","year":"2019","unstructured":"Torri G, Giacometti R, Paterlini S (2019) Sparse precision matrices for minimum variance portfolios. Comput Manag Sci 16:375\u2013400. https:\/\/doi.org\/10.1007\/s10287-019-00344-6","journal-title":"Comput Manag Sci"}],"container-title":["Computational Management Science"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-025-00535-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10287-025-00535-4\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-025-00535-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,30]],"date-time":"2025-10-30T02:14:10Z","timestamp":1761790450000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10287-025-00535-4"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2025,6,22]]},"references-count":62,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2025,12]]}},"alternative-id":["535"],"URL":"https:\/\/doi.org\/10.1007\/s10287-025-00535-4","relation":{},"ISSN":["1619-697X","1619-6988"],"issn-type":[{"value":"1619-697X","type":"print"},{"value":"1619-6988","type":"electronic"}],"subject":[],"published":{"date-parts":[[2025,6,22]]},"assertion":[{"value":"1 November 2024","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"19 May 2025","order":2,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"22 June 2025","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}],"article-number":"8"}}