A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints (Q6079984)
From MaRDI portal
scientific article; zbMATH DE number 7744755
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints |
scientific article; zbMATH DE number 7744755 |
Statements
A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints (English)
0 references
29 September 2023
0 references
mean-reverting portfolios
0 references
nonconvex optimization
0 references
sparse optimization
0 references
volatility
0 references
0 references
0 references
0 references
0 references
0 references
