An alternating method for cardinality-constrained optimization : a computational study for the best subset selection and sparse portfolio problems
Carina Moreira Costa, Dennis Kreber, Martin Schmidt
| Year of publication: |
2022
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|---|---|
| Authors: | Moreira Costa, Carina ; Kreber, Dennis ; Schmidt, Martin |
| Published in: |
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences. - Linthicum, Md. : INFORMS, ISSN 1526-5528, ZDB-ID 2004082-9. - Vol. 34.2022, 6, p. 2968-2988
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| Subject: | alternating direction methods | best subset selection | cardinality constraints | penalty methods | portfolio optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2022.1211 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014326330