Tax-Aware Portfolio Construction via Convex Optimization.
Nicholas MoehleMykel J. KochenderferStephen P. BoydAndrew AngPublished in: J. Optim. Theory Appl. (2021)
Keyphrases
- convex optimization
- interior point methods
- low rank
- total variation
- augmented lagrangian
- convex optimization problems
- primal dual
- convex relaxation
- convex formulation
- convex programming
- norm minimization
- operator splitting
- convex constraints
- linear programming
- low rank matrix
- multiscale
- semidefinite program
- machine learning