Nonconvex multi-period mean-variance portfolio optimization (Q6596973)
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scientific article; zbMATH DE number 7905456
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonconvex multi-period mean-variance portfolio optimization |
scientific article; zbMATH DE number 7905456 |
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Nonconvex multi-period mean-variance portfolio optimization (English)
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3 September 2024
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portfolio optimization
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multi-period
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mean-variance
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nonconvex penalty
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alternating direction method of multipliers
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