Split Bregman iteration for multi-period mean variance portfolio optimization.
Stefania CorsaroValentina De SimoneZelda MarinoPublished in: Appl. Math. Comput. (2021)
Keyphrases
- portfolio optimization
- multi period
- portfolio selection
- production planning
- planning horizon
- problems involving
- total variation
- factor analysis
- robust optimization
- routing problem
- data envelopment analysis
- lot sizing
- stock market
- risk management
- bi objective
- stock price
- optimization methods
- total cost
- knapsack problem
- denoising
- convex optimization
- image restoration
- semi supervised
- stock exchange
- optimization problems