A Scalable Algorithm for Sparse Portfolio Selection
<jats:p> The sparse portfolio selection problem is one of the most famous and frequently studied problems in the optimization and financial economics literatures. In a universe of risky assets, the goal is to construct a portfolio with maximal expected return and minimum variance, subject to a...
প্রধান লেখক: | , |
---|---|
অন্যান্য লেখক: | |
বিন্যাস: | প্রবন্ধ |
ভাষা: | English |
প্রকাশিত: |
Institute for Operations Research and the Management Sciences (INFORMS)
2022
|
অনলাইন ব্যবহার করুন: | https://hdl.handle.net/1721.1/144103 |