A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints (Q6079984)
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scientific article; zbMATH DE number 7744755
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| English | A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints |
scientific article; zbMATH DE number 7744755 |
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A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints (English)
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29 September 2023
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mean-reverting portfolios
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nonconvex optimization
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sparse optimization
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volatility
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