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

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-Feng-Min Xu
@@ Property / author: Feng-Min Xu / rank @@
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+Feng-Min Xu
@@ Property / author: Feng-Min Xu / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10898-020-00911-1
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+W3029210569
@@ Property / OpenAlex ID: W3029210569 / rank @@
+Normal rank
@@ Property / cites work @@
+Algorithm for cardinality-constrained quadratic optimization
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@@ Property / cites work @@
+On the convergence of the direct extension of ADMM for three-block separable convex minimization models with one strongly convex function
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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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+Sparse solutions to random standard quadratic optimization problems
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+On non-ergodic convergence rate of Douglas-Rachford alternating direction method of multipliers
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+On the linear convergence of the alternating direction method of multipliers
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+SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES
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+OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
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+Large-Scale Portfolio Optimization
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+Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
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+Alternating Direction Method of Multipliers for a Class of Nonconvex and Nonsmooth Problems with Applications to Background/Foreground Extraction
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@@ links / mardi / name / links / mardi / name @@
+Publication:2022191