Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
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Publication:1639718
DOI10.1007/s10589-018-9985-2zbMath1418.90252arXiv1703.10637OpenAlexW2605323362MaRDI QIDQ1639718
Max Bucher, Martin Branda, Alexandra Schwartz, Michal Červinka
Publication date: 13 June 2018
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.10637
regularization methodcardinality constraintsstrong stationarityrobust portfolio optimizationScholtes regularizationsparse portfolio optimization
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