A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints

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Publication:6079984

DOI10.1111/itor.13123MaRDI QIDQ6079984

Ahmad Mousavi, Jinglai Shen

Publication date: 29 September 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)




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