A penalty decomposition algorithm with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints
Ahmad Mousavi and Jinglai Shen
| Year of publication: |
2023
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|---|---|
| Authors: | Mousavi, Ahmad ; Shen, Jinglai |
| Published in: |
International transactions in operational research : a journal of the International Federation of Operational Research Societies. - Oxford : Wiley-Blackwell, ISSN 1475-3995, ZDB-ID 2019815-2. - Vol. 30.2023, 5, p. 2415-2435
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| Subject: | mean-reverting portfolios | nonconvex optimization | sparse optimization | volatility | Volatilität | Volatility | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Mean Reversion | Mean reversion | Dekompositionsverfahren | Decomposition method | Algorithmus | Algorithm |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/itor.13123 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014259187