Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568): Difference between revisions

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Latest revision as of 11:18, 17 July 2024

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Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
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    Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (English)
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    23 November 2018
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    minimum variance portfolio
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    weighted norm constraint
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    Berhu penalty
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    grouped portfolio selection
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