Penalty method for the sparse portfolio optimization problem (Q6574067)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7882627
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Penalty method for the sparse portfolio optimization problem |
scientific article; zbMATH DE number 7882627 |
Statements
Penalty method for the sparse portfolio optimization problem (English)
0 references
18 July 2024
0 references
sparse optimization
0 references
portfolio selection
0 references
exact penalty
0 references
majorization-minimization method
0 references
out-of-sample performance
0 references
0 references
0 references
0 references
0 references
0 references
0 references
