A penalty PALM method for sparse portfolio selection problems
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Cites work
- A concave optimization-based approach for sparse portfolio selection
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Algorithm for cardinality-constrained quadratic optimization
- Computational study of a family of mixed-integer quadratic programming problems
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- From Sparse Solutions of Systems of Equations to Sparse Modeling of Signals and Images
- Heuristic algorithms for the cardinality constrained efficient frontier
- Heuristics for cardinality constrained portfolio optimization
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Mixed-integer programming approaches for index tracking and enhanced indexation
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- Perspective cuts for a class of convex 0-1 mixed integer programs
- Proximal alternating linearized minimization for nonconvex and nonsmooth problems
- Robust investment strategies with discrete asset choice constraints using DC programming
- SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
- Sparse and stable Markowitz portfolios
- Sparse Approximation via Penalty Decomposition Methods
- Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
- The Optimal Selection of Small Portfolios
- The Łojasiewicz Inequality for Nonsmooth Subanalytic Functions with Applications to Subgradient Dynamical Systems
- Variational Analysis
Cited in
(13)- Fast algorithms for sparse portfolio selection considering industries and investment styles
- Convergent inexact penalty decomposition methods for cardinality-constrained problems
- Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- A concave optimization-based approach for sparse portfolio selection
- An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
- Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique
- Cardinality minimization, constraints, and regularization: a survey
- An efficient asymptotic DC method for sparse and low-rank matrix recovery
- Sparsity penalized mean-variance portfolio selection: analysis and computation
- Distributionally robust sparse portfolio selection
- An inexact proximal DC algorithm for the large-scale cardinality constrained mean-variance model in sparse portfolio selection
- Projected gradient descent method for cardinality-constrained portfolio optimization
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