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A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints - MaRDI portal

A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints

From MaRDI portal
Publication:6365429

DOI10.1111/itor.13123arXiv2104.07887MaRDI QIDQ6365429

Ahmad Mousavi, Jinglai Shen

Publication date: 16 April 2021




Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)








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