Article ; Online: Cardinality Constrained Portfolio Optimization via Alternating Direction Method of Multipliers.
IEEE transactions on neural networks and learning systems
2024 Volume 35, Issue 2, Page(s) 2901–2909
Abstract: Inspired by sparse learning, the Markowitz mean-variance model with a sparse regularization term is popularly used in sparse portfolio optimization. However, in penalty-based portfolio optimization algorithms, the cardinality level of the resultant ... ...
Abstract | Inspired by sparse learning, the Markowitz mean-variance model with a sparse regularization term is popularly used in sparse portfolio optimization. However, in penalty-based portfolio optimization algorithms, the cardinality level of the resultant portfolio relies on the choice of the regularization parameter. This brief formulates the mean-variance model as a cardinality ( l |
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Language | English |
Publishing date | 2024-02-05 |
Publishing country | United States |
Document type | Journal Article |
ISSN | 2162-2388 |
ISSN (online) | 2162-2388 |
DOI | 10.1109/TNNLS.2022.3192065 |
Database | MEDical Literature Analysis and Retrieval System OnLINE |
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