A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization
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Publication:6063782
DOI10.1007/s43069-023-00257-wzbMath1527.90222arXiv2209.02756MaRDI QIDQ6063782
Marcos Raydan, Evelin H. M. Krulikovski, Nataša Krejić
Publication date: 12 December 2023
Published in: SN Operations Research Forum (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2209.02756
portfolio optimizationcardinality constraintsefficient frontierDykstra's algorithmprojected gradient methods
Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Portfolio theory (91G10) Financial markets (91G15)
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