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A Scalable Algorithm for Sparse Portfolio Selection.

Dimitris BertsimasRyan Cory-Wright
Published in: INFORMS J. Comput. (2022)
Keyphrases
  • portfolio selection
  • multistage stochastic
  • portfolio optimization
  • robust optimization
  • high dimensional
  • portfolio management
  • financial markets
  • objective function
  • text classification
  • optimal portfolio