Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 04:31, 1 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving norm constrained portfolio optimization via coordinate-wise descent algorithms |
scientific article |
Statements
Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (English)
0 references
23 November 2018
0 references
minimum variance portfolio
0 references
weighted norm constraint
0 references
Berhu penalty
0 references
grouped portfolio selection
0 references
