Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection
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Cites work
- A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A new piecewise quadratic approximation approach for \(L_0\) norm minimization problem
- Accelerated gradient methods for nonconvex nonlinear and stochastic programming
- Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
- Active constraints, indefinite quadratic test problems, and complexity
- Adaptive l₁-regularization for short-selling control in portfolio selection
- Complexity analysis of interior point algorithms for non-Lipschitz and nonconvex minimization
- Constructing optimal sparse portfolios using regularization methods
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- Enhancing sparsity by reweighted \(\ell _{1}\) minimization
- Fused Lasso approach in portfolio selection
- Gradient methods for minimizing composite functions
- L 1/2 regularization
- Linear convergence of proximal gradient algorithm with extrapolation for a class of nonconvex nonsmooth minimization problems
- Nearly unbiased variable selection under minimax concave penalty
- Necessary and sufficient KKT optimality conditions in non-convex optimization
- Optimization theory and methods. Nonlinear programming
- Portfolio selection with robust estimation
- Recovering Sparse Signals With a Certain Family of Nonconvex Penalties and DC Programming
- Restricted isometry properties and nonconvex compressive sensing
- Sparse and stable Markowitz portfolios
- Splitting Algorithms for the Sum of Two Nonlinear Operators
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Vast portfolio selection with gross-exposure constraints
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