Work

Short-term sparse portfolio optimization based on alternating direction method of multipliers

Year: 2018

Type: article

Source: Journal of Machine Learning Research

Authors: Zhao-Rong Lai, Peiyi Yang, Liangda Fang, Xiaotian Wu

Institutions: Jinan University, Sun Yat-sen University

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2914085915

FWCI: 1.334

Cites: 48

Cited by: 31

Related to: 10