Short-term sparse portfolio optimization based on alternating direction method of multipliers
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Cites work
- A Robust Statistics Approach to Minimum Variance Portfolio Optimization
- Distributed optimization and statistical learning via the alternating direction method of multipliers
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- Online portfolio selection with long-short term forecasting
- Adaptive online portfolio strategy based on exponential gradient updates
- High-dimensional sparse portfolio selection with nonnegative constraint
- Loss control with rank-one covariance estimate for short-term portfolio optimization
- Closed-form solutions for short-term sparse portfolio optimization
- On the study of sparse linear programming
- Kernel-based aggregating learning system for online portfolio optimization
- A Krasnoselskii-Mann proximity algorithm for Markowitz portfolios with adaptive expected return level
- Adaptive robust online portfolio selection
- Sparse portfolio optimization via _1 over _2 regularization
- Cardinality constrained mean-variance portfolios: a penalty decomposition algorithm
- Distributionally robust sparse portfolio optimization model under satisfaction criterion
- A general framework for nonconvex sparse mean-CVaR portfolio optimization via ADMM
- Inertial alternating direction method of multipliers with logarithmic-quadratic proximal regularization
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