A penalty PALM method for sparse portfolio selection problems
DOI10.1080/10556788.2016.1204299zbMATH Open1366.91162OpenAlexW2510785375MaRDI QIDQ5268895FDOQ5268895
Xiaoliang Song, Bo Yu, Li Yang, Yue Teng
Publication date: 21 June 2017
Published in: Optimization Methods \& Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10556788.2016.1204299
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minimizationproximal alternating linearized minimization methodcardinality constrained portfolio selectionsparse portfolio selection
Numerical mathematical programming methods (65K05) Numerical methods (including Monte Carlo methods) (91G60) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Portfolio theory (91G10)
Cites Work
- Variational Analysis
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- From Sparse Solutions of Systems of Equations to Sparse Modeling of Signals and Images
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- A local relaxation method for the cardinality constrained portfolio optimization problem
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- Sparse and stable Markowitz portfolios
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- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- Algorithm for cardinality-constrained quadratic optimization
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- A concave optimization-based approach for sparse portfolio selection
- Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
- The Optimal Selection of Small Portfolios
- Robust investment strategies with discrete asset choice constraints using DC programming
Cited In (6)
- Cardinality minimization, constraints, and regularization: a survey
- An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
- Convergent inexact penalty decomposition methods for cardinality-constrained problems
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization
- Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique
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