A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems (Q781111)
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scientific article; zbMATH DE number 7221687
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| English | A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems |
scientific article; zbMATH DE number 7221687 |
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A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems (English)
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16 July 2020
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robust portfolio selection
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multi-block convex optimization
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symmetric Gauss-Seidel decomposition
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Q-linear convergence
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calmness
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0.7607829570770264
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0.7603603601455688
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0.7539154291152954
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0.7516176700592041
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