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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2022
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| Online Access: | https://hdl.handle.net/1721.1/144103 |