A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems
type: Item
instance of: scholarly article
title: A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems
zbMATH Open document ID: 1449.65127
author: Ning Zhang
published in: Journal of Industrial and Management Optimization
publication date: 2020-07-16T00:00:00Z
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 90C25
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7221687
zbMATH Keywords: robust portfolio selection
zbMATH Keywords: multi-block convex optimization
zbMATH Keywords: symmetric Gauss-Seidel decomposition
zbMATH Keywords: Q-linear convergence
zbMATH Keywords: calmness
cites work: PPROJ
cites work: Q3515815
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describes a project that uses: PPROJ
describes a project that uses: QSDPNAL
MaRDI profile type: Publication
full work available at URL: jimo.2018189
OpenAlex ID: W2906633937
Wikidata QID: Q128658737
DOI: 10.3934/JIMO.2018189
description: scientific article; zbMATH DE number 7221687