Penalty method for the sparse portfolio optimization problem
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Publication:6574067
DOI10.3934/jimo.2024031MaRDI QIDQ6574067
Publication date: 18 July 2024
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
portfolio selectionsparse optimizationexact penaltyout-of-sample performancemajorization-minimization method
Applications of mathematical programming (90C90) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)
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