Fast algorithms for sparse portfolio selection considering industries and investment styles
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Publication:2022191
DOI10.1007/s10898-020-00911-1zbMath1466.91282OpenAlexW3029210569MaRDI QIDQ2022191
Yu-Hong Dai, Zhi-Long Dong, Feng-Min Xu
Publication date: 28 April 2021
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-020-00911-1
Related Items (3)
Closed-form solutions for short-term sparse portfolio optimization ⋮ A bi‐level programming framework for identifying optimal parameters in portfolio selection ⋮ Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
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