Portfolio construction as linearly constrained separable optimization

DOI10.1007/s11081-022-09748-xarXiv2103.05455OpenAlexW3134926199MaRDI QIDQ6050367

Jack Gindi, Mykel J. Kochenderfer, Stephen P. Boyd, Nicholas Moehle

Publication date: 18 September 2023

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.05455

zbMATH Keywords

convex optimizationportfolio optimizationconvex envelopeproximal methods

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

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