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Long-Short Portfolio Optimization Under Cardinality Constraints by Difference of Convex Functions Algorithm.
Hoai An Le Thi
Mahdi Moeini
Published in:
J. Optim. Theory Appl. (2014)
Keyphrases
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convex functions
objective function
computational complexity
np hard
dynamic programming
dc programming
worst case
expectation maximization
convergence rate
portfolio optimization
high dimensional
primal dual
higher dimensional