Portfolio choice through convex optimization.

Philippe Henrotte Hervé Lebret

Published in: CIFEr (1995)

Keyphrases

convex optimization
interior point methods
total variation
low rank
primal dual
convex programming
convex constraints
convex formulation
convex relaxation
convex optimization problems
norm minimization
high quality
multiscale
image denoising
semidefinite program
operator splitting