Proximal linearized method for sparse equity portfolio optimization with minimum transaction cost
Abstract In this paper, we propose a sparse equity portfolio optimization model that aims at minimizing transaction cost by avoiding small investments while promoting diversification to help mitigate the volatility in the portfolio. The former is achieved by including the ℓ 0 $\ell _{0}$ -norm regul...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2023-11-01
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| Series: | Journal of Inequalities and Applications |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s13660-023-03055-4 |