Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection (Q5882243)
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scientific article; zbMATH DE number 7663266
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection |
scientific article; zbMATH DE number 7663266 |
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Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection (English)
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15 March 2023
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sparse portfolio selection
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non-convex regularization
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accelerated proximal algorithm
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linear convergence
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Sharpe ratio
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turnover
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