Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568)
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scientific article; zbMATH DE number 6984006
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving norm constrained portfolio optimization via coordinate-wise descent algorithms |
scientific article; zbMATH DE number 6984006 |
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Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (English)
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23 November 2018
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minimum variance portfolio
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weighted norm constraint
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Berhu penalty
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grouped portfolio selection
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