A Scalable Algorithm for Sparse Portfolio Selection
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Publication:5087719
DOI10.1287/ijoc.2021.1127OpenAlexW4205423034WikidataQ120689906 ScholiaQ120689906MaRDI QIDQ5087719
Ryan Cory-Wright, Dimitris J. Bertsimas
Publication date: 1 July 2022
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.00138
Related Items (13)
A penalty decomposition approach for multi-objective cardinality-constrained optimization problems ⋮ Mixed-Projection Conic Optimization: A New Paradigm for Modeling Rank Constraints ⋮ Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty ⋮ Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset ⋮ Sparse convex optimization toolkit: a mixed-integer framework ⋮ Inductive Representation Learning on Dynamic Stock Co-Movement Graphs for Stock Predictions ⋮ Cardinality-constrained distributionally robust portfolio optimization ⋮ Inexact penalty decomposition methods for optimization problems with geometric constraints ⋮ Online portfolio selection with state-dependent price estimators and transaction costs ⋮ Distributed primal outer approximation algorithm for sparse convex programming with separable structures ⋮ A Path-Based Approach to Constrained Sparse Optimization ⋮ Linear-step solvability of some folded concave and singly-parametric sparse optimization problems ⋮ Conic formulation of QPCCs applied to truly sparse QPs
Uses Software
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