by transforming the objective function into a strictly convex one. Amongst them, the ”Spinu Algorithm” proves to be the … most robust and fastest algorithm, both for large equity and small multi-asset portfolios. Surprisingly, the promising … Cyclical Coordinate Descent (CCD) algorithm proposed by Griveau et.al. (2013) which suits well for risk budgeting on a large …

We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For …

without such penalty. Several extensions of the proposed method are illustrated; in particular, an efficient algorithm for …

techniques have been proposed for its solution. This paper introduces an efficient new algorithm for the solution to this problem …, and compares its performance to other algorithms proposed in the literature. It is shown that the algorithm is very …

transformation, we develop a linear algorithm of TSD. Furthermore, we refine the "superconvex" TSD of Post and Kopa (2017) and …

convergence-provable algorithm framework based on the successive convex approximation (SCA) algorithm to solve high …-order portfolios. The efficiency of the proposed algorithm framework is demonstrated by the numerical experiments …

coordinate descent, the alternating direction method of multipliers, the proximal gradient method and the Dykstra's algorithm …