Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique
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Cites work
- A hybrid algorithm for the two-trust-region subproblem
- A new LQP alternating direction method for solving variational inequality problems with separable structure
- A note on the alternating direction method of multipliers
- A penalty PALM method for sparse portfolio selection problems
- An ADMM-factorization algorithm for low rank matrix completion
- An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
- Biconvex sets and optimization with biconvex functions: a survey and extensions
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- Coherent measures of risk
- Computing Feasible Points of Bilevel Problems with a Penalty Alternating Direction Method
- Penalty alternating direction methods for mixed-integer optimization: a new view on feasibility pumps
- Portfolio optimization under lower partial risk measures
- Robust CCMV model with short selling and risk-neutral interest rate
- Scenario reduction in stochastic programming
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