An alternating method for cardinality-constrained optimization : a computational study for the best subset selection and sparse portfolio problems

Carina Moreira Costa, Dennis Kreber, Martin Schmidt

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

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1287/ijoc.2022.1211 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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