Penalty method for the sparse portfolio optimization problem (Q6574067)
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scientific article; zbMATH DE number 7882627
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| English | Penalty method for the sparse portfolio optimization problem |
scientific article; zbMATH DE number 7882627 |
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Penalty method for the sparse portfolio optimization problem (English)
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18 July 2024
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sparse optimization
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portfolio selection
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exact penalty
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majorization-minimization method
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out-of-sample performance
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