A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints (Q6504454)
From MaRDI portal
scientific article; zbMATH DE number 900478277
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints |
scientific article; zbMATH DE number 900478277 |
Statements
A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints (English)
0 references
1 January 1 CEGregorian
0 references
