Robust enhanced indexation optimization with sparse industry Layout constraint

DOI10.1016/j.cor.2023.106420MaRDI QIDQ6065610

Feng-Min Xu, Zhihua Allen-Zhao, San-Yang Liu, Yu-Hong Dai

Publication date: 15 November 2023

Published in: Computers \& Operations Research (Search for Journal in Brave)

zbMATH Keywords

enhanced indexationalternating minimization algorithmout-of-sample analysisworst-case CVaRgroup-sparse optimization

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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