An alternating method for cardinality-constrained optimization : a computational study for the best subset selection and sparse portfolio problems
Year of publication: |
2022
|
---|---|
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
|
Subject: | alternating direction methods | best subset selection | cardinality constraints | penalty methods | portfolio optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
-
Krejić, N., (2023)
-
Steuer, Ralph E., (2024)
-
The α-tail distance with an application to portfolio optimization under different market conditions
Yang, Han, (2021)
- More ...
-
Mixed-integer programming techniques for the minimum sum-of-squares clustering problem
Burgard, Jan Pablo, (2023)
-
Burgard, Jan Pablo, (2022)
-
The generalized equivalence of regularization and min–max robustification in linear mixed models
Burgard, Jan Pablo, (2021)
- More ...