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 QIDQ6079984FDOQ6079984
Authors: A. Mousavi, Jinglai Shen 
Publication date: 29 September 2023
Published in: International Transactions in Operational Research (Search for Journal in Brave)
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Cited In (5)
- ESG portfolio for TDFs with time-varying higher moments and cardinality constraint
- A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
- The performance of bank portfolio optimization
- A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints
- Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
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