Sparse portfolio rebalancing model based on inverse optimization.
Meihua WangFengmin XuGuan WangPublished in: Optim. Methods Softw. (2014)
Keyphrases
- optimization algorithm
- search tree
- optimization method
- data sets
- optimization problems
- sparse pca
- portfolio optimization
- sparse data
- random projections
- constrained optimization
- optimization methods
- image reconstruction
- dimensionality reduction
- high dimensional
- sparse representation
- global optimization
- data driven
- evolutionary algorithm
- relational databases
- compressive sensing
- compressed sensing
- optimization strategies
- search algorithm
- decision making