An ADMM Based Parallel Approach for Fund of Fund Construction
In this paper, we propose a parallel algorithm for a fund of fund (FOF) optimization model. Based on the structure of objective function, we create an augmented Lagrangian function and separate the quadratic term from the nonlinear term by the alternate direction multiplier method (ADMM), which crea...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-01-01
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| Series: | Algorithms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1999-4893/15/2/35 |