Fast algorithms for sparse portfolio selection considering industries and investment styles

DOI10.1007/S10898-020-00911-1MaRDI QIDQ2022191zbMATH OpenOpenAlexFDO

Authors Zhi-Long Dong, Yuhong Dai, Feng-Min Xu

Publication date 28 April 2021

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10898-020-00911-1

zbMATH Keywords

ADMMindustry classificationportfolio selectionsparse optimizationstyle investment

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(7)

• Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
• Short-term sparse portfolio optimization based on alternating direction method of multipliers
• A Scalable Algorithm for Sparse Portfolio Selection
• Closed-form solutions for short-term sparse portfolio optimization
• A penalty PALM method for sparse portfolio selection problems
• A bi‐level programming framework for identifying optimal parameters in portfolio selection
• Distributionally robust sparse portfolio selection

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