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Search: subject:"Sparse portfolio selection"
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Mathematical programming
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European journal of operational research : EJOR
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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
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ECONIS (ZBW)
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Sparse portfolio optimization via ℓ1 over ℓ2 regularization
Wu, Zhongming
;
Sun, Kexin
;
Ge, Zhili
;
Allen-Zhao, Zhihua
; …
- In:
European journal of operational research : EJOR
319
(
2024
)
3
,
pp. 820-833
Persistent link: https://www.econbiz.de/10015085058
Saved in:
2
A scalable algorithm for
sparse
portfolio
selection
Bertsimas, Dimitris
;
Cory-Wright, Ryan
- In:
INFORMS journal on computing : JOC ; charting new …
34
(
2022
)
3
,
pp. 1489-1511
Persistent link: https://www.econbiz.de/10013361693
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