Fast algorithms for sparse portfolio selection considering industries and investment styles (Q2022191): Difference between revisions

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+https://doi.org/10.1007/s10898-020-00911-1
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+W3029210569
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+Algorithm for cardinality-constrained quadratic optimization
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+Heuristics for cardinality constrained portfolio optimization
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+The direct extension of ADMM for multi-block convex minimization problems is not necessarily convergent
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