Pages that link to "Item:Q6079984"
From MaRDI portal
The following pages link to A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints (Q6079984):
Displaying 5 items.
- Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure (Q6056329) (← links)
- A novel regularization-based optimization approach to sparse mean-reverting portfolios selection (Q6088537) (← links)
- The performance of bank portfolio optimization (Q6146623) (← links)
- A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints (Q6365429) (← links)
- ESG portfolio for TDFs with time-varying higher moments and cardinality constraint (Q6561629) (← links)