A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems
DOI10.3934/JIMO.2018189zbMATH Open1449.65127OpenAlexW2906633937WikidataQ128658737 ScholiaQ128658737MaRDI QIDQ781111FDOQ781111
Authors: Ning Zhang 
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
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calmnessrobust portfolio selectionQ-linear convergencemulti-block convex optimizationsymmetric Gauss-Seidel decomposition
Numerical mathematical programming methods (65K05) Convex programming (90C25) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)
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