{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T07:33:18Z","timestamp":1740123198047,"version":"3.37.3"},"reference-count":37,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2021,3,23]],"date-time":"2021-03-23T00:00:00Z","timestamp":1616457600000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springer.com\/tdm"},{"start":{"date-parts":[[2021,3,23]],"date-time":"2021-03-23T00:00:00Z","timestamp":1616457600000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springer.com\/tdm"}],"funder":[{"name":"Basic Science Research Program","award":["NRF-2018R1C1B6004271"],"award-info":[{"award-number":["NRF-2018R1C1B6004271"]}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2021,11]]},"DOI":"10.1007\/s10479-021-04029-9","type":"journal-article","created":{"date-parts":[[2021,3,23]],"date-time":"2021-03-23T13:02:43Z","timestamp":1616504563000},"page":"321-342","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Sparse factor model based on trend filtering"],"prefix":"10.1007","volume":"306","author":[{"given":"Jang Ho","family":"Kim","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Woo Chang","family":"Kim","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2827-1465","authenticated-orcid":false,"given":"Frank J.","family":"Fabozzi","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2021,3,23]]},"reference":[{"key":"4029_CR1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199959327.001.0001","volume-title":"Asset management: A systematic approach to factor investing","author":"A Ang","year":"2014","unstructured":"Ang, A. (2014). Asset management: A systematic approach to factor investing. Oxford University Press."},{"issue":"1","key":"4029_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, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3\u201318.","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"4029_CR3","doi-asserted-by":"publisher","first-page":"575","DOI":"10.1162\/003465399558454","volume":"81","author":"M Baxter","year":"1999","unstructured":"Baxter, M., & King, R. G. (1999). Measuring business cycles: Approximate band-pass filters for economic time series. Review of Economics and Statistics, 81(4), 575\u2013593.","journal-title":"Review of Economics and Statistics"},{"key":"4029_CR4","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4419-9586-5","volume-title":"Stochastic optimization methods in finance and energy: New financial products and energy market strategies","author":"M Bertocchi","year":"2011","unstructured":"Bertocchi, M., Consigli, G., & Dempster, M. A. H. (2011). Stochastic optimization methods in finance and energy: New financial products and energy market strategies. Springer."},{"issue":"30","key":"4029_CR5","doi-asserted-by":"publisher","first-page":"12267","DOI":"10.1073\/pnas.0904287106","volume":"106","author":"J Brodie","year":"2009","unstructured":"Brodie, J., Daubechies, I., De Mol, C., Giannone, D., & Loris, I. (2009). Sparse and stable Markowitz portfolios. Proceedings of the National Academy of Sciences, 106(30), 12267\u201312272.","journal-title":"Proceedings of the National Academy of Sciences"},{"issue":"1","key":"4029_CR6","doi-asserted-by":"publisher","first-page":"57","DOI":"10.1111\/j.1540-6261.1997.tb03808.x","volume":"52","author":"MM Carhart","year":"1997","unstructured":"Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57\u201382.","journal-title":"Journal of Finance"},{"issue":"5","key":"4029_CR7","doi-asserted-by":"publisher","first-page":"41","DOI":"10.2469\/faj.v56.n5.2389","volume":"56","author":"S Cavaglia","year":"2000","unstructured":"Cavaglia, S., Brightman, C., & Aked, M. (2000). The increasing importance of industry factors. Financial Analysts Journal, 56(5), 41\u201354.","journal-title":"Financial Analysts Journal"},{"issue":"4","key":"4029_CR8","doi-asserted-by":"publisher","first-page":"10","DOI":"10.3905\/jpm.2018.44.4.010","volume":"44","author":"J Cerniglia","year":"2018","unstructured":"Cerniglia, J., & Fabozzi, F. J. (2018). Academic, practitioner, and investor perspectives on factor investing. Journal of Portfolio Management, 44(4), 10\u201316.","journal-title":"Journal of Portfolio Management"},{"issue":"1","key":"4029_CR9","doi-asserted-by":"publisher","first-page":"243","DOI":"10.1007\/s10479-019-03189-z","volume":"284","author":"J Chen","year":"2020","unstructured":"Chen, J., Dai, G., & Zhang, N. (2020). An application of sparse-group lasso regularization to equity portfolio optimization and sector selection. Annals of Operations Research, 284(1), 243\u2013262.","journal-title":"Annals of Operations Research"},{"key":"4029_CR10","doi-asserted-by":"publisher","first-page":"167","DOI":"10.1007\/s10479-006-0133-5","volume":"152","author":"A Consiglio","year":"2007","unstructured":"Consiglio, A., Cocco, F., & Zenios, S. A. (2007). Scenario optimization asset and liability modelling for individual investors. Annals of Operations Research, 152, 167\u2013191.","journal-title":"Annals of Operations Research"},{"issue":"15","key":"4029_CR11","doi-asserted-by":"publisher","first-page":"15","DOI":"10.3905\/jpm.2017.43.5.015","volume":"4","author":"E Dimson","year":"2017","unstructured":"Dimson, E., Marsh, P., & Staunton, M. (2017). Factor-based investing: The long-term evidence. Journal of Portfolio Management, 4(15), 15\u201337.","journal-title":"Journal of Portfolio Management"},{"issue":"4","key":"4029_CR12","doi-asserted-by":"publisher","first-page":"93","DOI":"10.3905\/jpm.2018.44.4.093","volume":"44","author":"FE Dopfel","year":"2018","unstructured":"Dopfel, F. E., & Lester, A. (2018). Optimal blending of smart beta and multifactor portfolios. Journal of Portfolio Management, 44(4), 93\u2013105.","journal-title":"Journal of Portfolio Management"},{"issue":"1\u20134","key":"4029_CR13","doi-asserted-by":"publisher","first-page":"25","DOI":"10.1023\/A:1019206915174","volume":"100","author":"J Dupa\u010dov\u00e1","year":"2000","unstructured":"Dupa\u010dov\u00e1, J., Consigli, G., & Wallace, S. W. (2000). Scenarios for multistage stochastic programs. Annals of Operations Research, 100(1\u20134), 25\u201353.","journal-title":"Annals of Operations Research"},{"issue":"2","key":"4029_CR14","doi-asserted-by":"publisher","first-page":"426","DOI":"10.1111\/j.1540-6261.1992.tb04398.x","volume":"47","author":"EF Fama","year":"1992","unstructured":"Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 426\u2013465.","journal-title":"Journal of Finance"},{"issue":"1","key":"4029_CR15","doi-asserted-by":"publisher","first-page":"3","DOI":"10.1016\/0304-405X(93)90023-5","volume":"33","author":"EF Fama","year":"1993","unstructured":"Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3\u201356.","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"4029_CR16","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1016\/j.jfineco.2014.10.010","volume":"116","author":"EF Fama","year":"2015","unstructured":"Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1\u201322.","journal-title":"Journal of Financial Economics"},{"issue":"3","key":"4029_CR17","doi-asserted-by":"publisher","first-page":"607","DOI":"10.1086\/260061","volume":"81","author":"EF Fama","year":"1973","unstructured":"Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607\u2013636.","journal-title":"Journal of Political Economy"},{"issue":"1","key":"4029_CR18","doi-asserted-by":"publisher","first-page":"1","DOI":"10.2307\/2953682","volume":"29","author":"RJ Hodrick","year":"1997","unstructured":"Hodrick, R. J., & Prescott, E. C. (1997). Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit, and Banking, 29(1), 1\u201316.","journal-title":"Journal of Money, Credit, and Banking"},{"issue":"1","key":"4029_CR19","doi-asserted-by":"publisher","first-page":"1220","DOI":"10.1137\/15M1007872","volume":"6","author":"M Ho","year":"2015","unstructured":"Ho, M., Sun, Z., & Xin, J. (2015). Weighted elastic net penalized mean-variance portfolio design and computation. SIAM Journal on Financial Mathematics, 6(1), 1220\u20131244.","journal-title":"SIAM Journal on Financial Mathematics"},{"issue":"5","key":"4029_CR20","doi-asserted-by":"publisher","first-page":"157","DOI":"10.3905\/jpm.2017.43.5.157","volume":"43","author":"JH Kim","year":"2017","unstructured":"Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2017). Robust factor-based investing. Journal of Portfolio Management, 43(5), 157\u2013164.","journal-title":"Journal of Portfolio Management"},{"issue":"2","key":"4029_CR21","doi-asserted-by":"publisher","first-page":"339","DOI":"10.1137\/070690274","volume":"51","author":"SJ Kim","year":"2009","unstructured":"Kim, S. J., Koh, K., Boyd, S., & Gorinevsky, D. (2009). L1 trend filtering. SIAM Review, 51(2), 339\u2013360.","journal-title":"SIAM Review"},{"issue":"3","key":"4029_CR22","doi-asserted-by":"publisher","first-page":"515","DOI":"10.1080\/14697688.2019.1662079","volume":"20","author":"WC Kim","year":"2020","unstructured":"Kim, W. C., Kwon, D. G., Lee, Y., Kim, J. H., & Lin, C. (2020). Personalized goal-based investing via multi-stage stochastic goal programming. Quantitative Finance, 20(3), 515\u2013526.","journal-title":"Quantitative Finance"},{"issue":"6","key":"4029_CR23","doi-asserted-by":"publisher","first-page":"637","DOI":"10.1080\/14697680903190179","volume":"9","author":"WC Kim","year":"2009","unstructured":"Kim, W. C., & Mulvey, J. M. (2009). Evaluating style investment\u2014Does a fund market defined along equity styles add value? Quantitative Finance, 9(6), 637\u2013651.","journal-title":"Quantitative Finance"},{"issue":"1\u20132","key":"4029_CR24","doi-asserted-by":"publisher","first-page":"47","DOI":"10.1007\/s10479-014-1719-y","volume":"245","author":"M K\u00f6ksalan","year":"2016","unstructured":"K\u00f6ksalan, M., & \u015eakar, C. T. (2016). An interactive approach to stochastic programming-based portfolio optimization. Annals of Operations Research, 245(1\u20132), 47\u201366.","journal-title":"Annals of Operations Research"},{"issue":"1\u20132","key":"4029_CR25","doi-asserted-by":"publisher","first-page":"255","DOI":"10.1007\/s10479-017-2467-6","volume":"266","author":"PJ Kremer","year":"2018","unstructured":"Kremer, P. J., Talmaciu, A., & Paterlini, S. (2018). Risk minimization in multi-factor portfolios: What is the best strategy? Annals of Operations Research, 266(1\u20132), 255\u2013291.","journal-title":"Annals of Operations Research"},{"issue":"4","key":"4029_CR26","doi-asserted-by":"publisher","first-page":"46","DOI":"10.3905\/jpm.2018.44.4.046","volume":"44","author":"A Madhavan","year":"2018","unstructured":"Madhavan, A., Sobczyk, A., & Ang, A. (2018). What\u2019s in your benchmark? A factor analysis of major market indexes. Journal of Portfolio Management, 44(4), 46\u201359.","journal-title":"Journal of Portfolio Management"},{"issue":"2","key":"4029_CR27","doi-asserted-by":"publisher","first-page":"39","DOI":"10.3905\/JPM.2010.36.2.039","volume":"36","author":"D Melas","year":"2010","unstructured":"Melas, D., Suryanarayanan, R., & Cavaglia, S. (2010). Efficient replication of factor returns: Theory and applications. Journal of Portfolio Management, 36(2), 39\u201351.","journal-title":"Journal of Portfolio Management"},{"issue":"4","key":"4029_CR28","doi-asserted-by":"publisher","first-page":"260","DOI":"10.1504\/IJFERM.2018.094043","volume":"2","author":"JM Mulvey","year":"2018","unstructured":"Mulvey, J. M., Hao, H., & Li, N. (2018). Machine learning, economic regimes and portfolio optimisation. International Journal of Financial Engineering and Risk Management, 2(4), 260\u2013282.","journal-title":"International Journal of Financial Engineering and Risk Management"},{"issue":"1","key":"4029_CR29","doi-asserted-by":"publisher","first-page":"100","DOI":"10.3905\/jpm.2016.43.1.100","volume":"43","author":"JM Mulvey","year":"2016","unstructured":"Mulvey, J. M., & Liu, H. (2016). Identifying economic regimes: Reducing downside risks for university endowments and foundations. Journal of Portfolio Management, 43(1), 100\u2013108.","journal-title":"Journal of Portfolio Management"},{"issue":"1","key":"4029_CR30","doi-asserted-by":"publisher","first-page":"55","DOI":"10.1007\/s10479-012-1205-3","volume":"205","author":"AMB Pedersen","year":"2013","unstructured":"Pedersen, A. M. B., Weissensteiner, A., & Poulsen, R. (2013). Financial planning for young households. Annals of Operations Research, 205(1), 55\u201376.","journal-title":"Annals of Operations Research"},{"issue":"3","key":"4029_CR31","doi-asserted-by":"publisher","first-page":"839","DOI":"10.1080\/10618600.2015.1054033","volume":"25","author":"A Ramdas","year":"2016","unstructured":"Ramdas, A., & Tibshirani, R. J. (2016). Fast and flexible ADMM algorithms for trend filtering. Journal of Computational and Graphical Statistics, 25(3), 839\u2013858.","journal-title":"Journal of Computational and Graphical Statistics"},{"issue":"5","key":"4029_CR32","doi-asserted-by":"publisher","first-page":"21","DOI":"10.3905\/jpm.2018.44.5.021","volume":"44","author":"R Roll","year":"2018","unstructured":"Roll, R., & Srivastava, A. (2018). Mimicking portfolios. Journal of Portfolio Management, 44(5), 21\u201335.","journal-title":"Journal of Portfolio Management"},{"issue":"1","key":"4029_CR33","doi-asserted-by":"publisher","first-page":"285","DOI":"10.1214\/13-AOS1189","volume":"42","author":"RJ Tibshirani","year":"2014","unstructured":"Tibshirani, R. J. (2014). Adaptive piecewise polynomial estimation via trend filtering. Annals of Statistics, 42(1), 285\u2013323.","journal-title":"Annals of Statistics"},{"issue":"1\u20132","key":"4029_CR34","doi-asserted-by":"publisher","first-page":"349","DOI":"10.1007\/s10479-018-2794-2","volume":"281","author":"J Vidal-Garc\u00eda","year":"2019","unstructured":"Vidal-Garc\u00eda, J., Vidal, M., Boubaker, S., & Manita, R. (2019). Idiosyncratic risk and mutual fund performance. Annals of Operations Research, 281(1\u20132), 349\u2013372.","journal-title":"Annals of Operations Research"},{"issue":"10","key":"4029_CR35","doi-asserted-by":"crossref","first-page":"713","DOI":"10.1080\/13504851.2016.1223811","volume":"24","author":"H Yamada","year":"2017","unstructured":"Yamada, H. (2017). Estimating the trend in US real GDP using the $$\\ell_{1}$$ trend filtering. Applied Economics Letters, 24(10), 713\u2013716.","journal-title":"Applied Economics Letters"},{"issue":"1","key":"4029_CR36","doi-asserted-by":"crossref","first-page":"81","DOI":"10.1007\/s00181-012-0625-x","volume":"45","author":"H Yamada","year":"2013","unstructured":"Yamada, H., & Jin, L. (2013). Japan\u2019s output gap estimation and $$\\ell_{1}$$ trend filtering. Empirical Economics, 45(1), 81\u201388.","journal-title":"Empirical Economics"},{"issue":"1","key":"4029_CR37","first-page":"97","volume":"20","author":"H Yamada","year":"2016","unstructured":"Yamada, H., & Yoon, G. (2016). Selecting the tuning parameter of the $$\\ell_{1}$$ trend filter. Studies in Nonlinear Dynamics and Econometrics, 20(1), 97\u2013105.","journal-title":"Studies in Nonlinear Dynamics and Econometrics"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-021-04029-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10479-021-04029-9\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-021-04029-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,10,26]],"date-time":"2021-10-26T03:09:15Z","timestamp":1635217755000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10479-021-04029-9"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,3,23]]},"references-count":37,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2021,11]]}},"alternative-id":["4029"],"URL":"https:\/\/doi.org\/10.1007\/s10479-021-04029-9","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"type":"print","value":"0254-5330"},{"type":"electronic","value":"1572-9338"}],"subject":[],"published":{"date-parts":[[2021,3,23]]},"assertion":[{"value":"8 March 2021","order":1,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"23 March 2021","order":2,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"3 April 2021","order":3,"name":"change_date","label":"Change Date","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"Update","order":4,"name":"change_type","label":"Change Type","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"The article has been updated due to the word \u201coneword\u201d erroneously used instead of \u201cdataset\u201d present in line 387 of\nthis article.","order":5,"name":"change_details","label":"Change Details","group":{"name":"ArticleHistory","label":"Article History"}}]}}