Sparse portfolio optimization via ℓ1 over ℓ2 regularization
Zhongming Wu, Kexin Sun, Zhili Ge, Zhihua Allen-Zhao, Tieyong Zeng
| Year of publication: |
2024
|
|---|---|
| Authors: | Wu, Zhongming ; Sun, Kexin ; Ge, Zhili ; Allen-Zhao, Zhihua ; Zeng, Tieyong |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 319.2024, 3 (16.12.), p. 820-833
|
| Subject: | Alternating direction method of multipliers | Convergence analysis | l/l regularization | Portfolio optimization | Sparse portfolio selection | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Multiplikator | Multiplier |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2024.07.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015085058