High-Dimensional Portfolio Selection with Cardinality Constraints
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Publication:6109962
DOI10.1080/01621459.2022.2133718arXiv2209.13794OpenAlexW4304206981MaRDI QIDQ6109962
Xue-Qin Wang, Jin-Hong Du, Yifeng Guo
Publication date: 4 July 2023
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2209.13794
portfolio managementsample average approximationexpected utility maximizationFenchel-Rockafellar dualitysafe screening
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