A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
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Publication:6079984
Cites work
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
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Cited in
(5)- The performance of bank portfolio optimization
- Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
- A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
- A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints
- ESG portfolio for TDFs with time-varying higher moments and cardinality constraint
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