A penalty decomposition algorithm with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints.
Ahmad MousaviJinglai ShenPublished in: Int. Trans. Oper. Res. (2023)
Keyphrases
- decomposition algorithm
- equality constraints
- working set
- penalty function
- decomposition method
- search algorithm
- constrained optimization
- search space
- greedy algorithm
- stock price
- sparse representation
- dynamic programming
- portfolio selection
- portfolio optimization
- feature selection
- recognition algorithm
- computer vision
- financial markets
- objective function