Projected gradient descent method for cardinality-constrained portfolio optimization

DOI10.1016/J.JFRANKLIN.2024.107267MaRDI QIDQ7032828zbMATH OpenFDO

Authors X. P. Li, Zhanglei Shi, Chi-Sing Leung, H. C. So

Publication date 4 February 2025

Published in Journal of the Franklin Institute (Search for Journal in Brave)

zbMATH Keywords

mean-variance modelnon-negative constraintsparse portfolio\(\ell_0\)-normprojected gradient descent

Mathematics Subject Classification ID

Quadratic programming (90C20) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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