A penalty PALM method for sparse portfolio selection problems

DOI10.1080/10556788.2016.1204299zbMath1366.91162OpenAlexW2510785375MaRDI QIDQ5268895

Xiaoliang Song, Bo Yu, Li Yang, Yue Teng

Publication date: 21 June 2017

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2016.1204299

zbMATH Keywords

minimizationproximal alternating linearized minimization methodcardinality constrained portfolio selectionsparse portfolio selection

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Portfolio theory (91G10)

Related Items (5)

An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems ⋮ Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique ⋮ Convergent inexact penalty decomposition methods for cardinality-constrained problems ⋮ An augmented Lagrangian proximal alternating method for sparse discrete optimization problems ⋮ Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization

Cites Work

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