A Krasnoselskii-Mann proximity algorithm for Markowitz portfolios with adaptive expected return level

DOI10.4208/ijnam2025-1006MaRDI QIDQ6670350

Yongxin He, Zhao-Rong Lai, Yizun Lin

Publication date: 23 January 2025

Published in: International Journal of Numerical Analysis and Modeling (Search for Journal in Brave)

zbMATH Keywords

Markowitz portfolioKrasnoselskii-Mann algorithm\(\ell^1\) regularizationadaptive expected return

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25)

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