Cardinality Constrained Portfolio Optimization via Alternating Direction Method of Multipliers.
Zhanglei ShiXiao Peng LiChi-Sing LeungHing Cheung SoPublished in: IEEE Trans. Neural Networks Learn. Syst. (2024)
Keyphrases
- portfolio optimization
- alternating direction method of multipliers
- portfolio selection
- risk management
- convex optimization
- problems involving
- factor analysis
- robust optimization
- bi objective
- stock price
- stock market
- optimization methods
- total variation
- stock exchange
- feature selection
- multiple objectives
- multi objective optimization
- semidefinite programming
- convex relaxation
- multi objective
- feature extraction