A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints (Q6365429)
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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
16 April 2021
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math.OC
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