Projected gradient descent method for cardinality-constrained portfolio optimization
From MaRDI portal
Cites work
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- scientific article; zbMATH DE number 3278338 (Why is no real title available?)
- A Markowitz Portfolio Approach to Options Trading
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A local relaxation method for the cardinality constrained portfolio optimization problem
- A penalty PALM method for sparse portfolio selection problems
- A review on ambiguity in stochastic portfolio optimization
- A successive difference-of-convex approximation method for a class of nonconvex nonsmooth optimization problems
- A unified approach to mixed-integer optimization problems with logical constraints
- Algorithm for cardinality-constrained quadratic optimization
- An efficient global optimal method for cardinality constrained portfolio optimization
- Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization
- Convergente rate of a penalty-function scheme
- Efficient sparse portfolios based on composite quantile regression for high-dimensional index tracking
- Exact Sparse Approximation Problems via Mixed-Integer Programming: Formulations and Computational Performance
- Financial system modeling using deep neural networks (DNNs) for effective risk assessment and prediction
- Kernel search: an application to the index tracking problem
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
- Nonconvex \(L_{1/2}\) regularization for sparse portfolio selection
- On robust mean-variance portfolios
- Optimal cardinality constrained portfolio selection
- Projected gradient methods for linearly constrained problems
- Robust Portfolio Selection Problems
- Robust portfolio optimization: a categorized bibliographic review
- Robust uncertainty principles: exact signal reconstruction from highly incomplete frequency information
- Solving High-Order Portfolios via Successive Convex Approximation Algorithms
- Sparse Approximate Solutions to Linear Systems
- Sparse Portfolios for High-Dimensional Financial Index Tracking
- Sparse and stable Markowitz portfolios
- Statistical Inference for the Expected Utility Portfolio in High Dimensions
This page was built for publication: Projected gradient descent method for cardinality-constrained portfolio optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7032828)
