Sparse portfolio optimization via \(\ell_1\) over \(\ell_2\) regularization (Q6982553)
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scientific article; zbMATH DE number 8042094
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| English | Sparse portfolio optimization via \(\ell_1\) over \(\ell_2\) regularization |
scientific article; zbMATH DE number 8042094 |
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Sparse portfolio optimization via \(\ell_1\) over \(\ell_2\) regularization (English)
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19 May 2025
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portfolio optimization
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sparse portfolio selection
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\(\ell_1/\ell_2\) regularization
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alternating direction method of multipliers
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convergence analysis
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