Large-Scale Regularized Portfolio Selection Via Convex Optimization.

Ziping Zhao Daniel P. Palomar

Published in: GlobalSIP (2019)

Keyphrases

convex optimization
portfolio selection
norm minimization
interior point methods
total variation
primal dual
convex optimization problems
low rank
financial markets
least squares
robust optimization
multiple objectives
trace norm
dynamic programming
multi objective
image denoising
text categorization