A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems
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Publication:781111
DOI10.3934/jimo.2018189zbMath1449.65127MaRDI QIDQ781111
Publication date: 16 July 2020
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2018189
calmness; robust portfolio selection; Q-linear convergence; multi-block convex optimization; symmetric Gauss-Seidel decomposition
91G60: Numerical methods (including Monte Carlo methods)
65K05: Numerical mathematical programming methods
90C25: Convex programming
91G10: Portfolio theory
Uses Software
Cites Work
