Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
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Publication:1623568
DOI10.1016/j.csda.2013.07.010zbMath1506.62201OpenAlexW4375926745MaRDI QIDQ1623568
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2013.07.010
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Uses Software
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