Robust Semi-Variance Downside Risk Portfolio Problems: A Convex Optimization Approach.
Maobiao YangYongwei HuangPublished in: SSP (2018)
Keyphrases
- convex optimization
- convex optimization problems
- convex programming
- norm minimization
- convex relaxation
- interior point methods
- alternating direction method of multipliers
- interior point
- quadratic program
- primal dual
- solving problems
- low rank
- optimization problems
- portfolio management
- denoising
- multiresolution
- semi definite programming
- low rank matrix
- learning algorithm