Work

Solving norm constrained portfolio optimization via coordinate-wise descent algorithms

Year: 2013

Type: article

Source: Computational Statistics & Data Analysis

DOI: 10.1016/j.csda.2013.07.010

Authors: Yu-Min Yen, Tso-Jung Yen

Institutions: Institute of Economics, Academia Sinica, Academia Sinica, Institute of Statistical Science, Academia Sinica

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2005120624

FWCI: 4.792

Cites: 51

Cited by: 61

Related to: 10