Short-term Sparse Portfolio Optimization Based on Alternating Direction Method of Multipliers.
Zhao-Rong LaiPei-Yi YangLiangda FangXiaotian WuPublished in: J. Mach. Learn. Res. (2018)
Keyphrases
- short term
- portfolio optimization
- stock market
- long term
- alternating direction method of multipliers
- convex optimization
- stock exchange
- basis pursuit
- portfolio selection
- stock price
- bi objective
- factor analysis
- total variation
- problems involving
- risk management
- robust optimization
- denoising
- optimization methods
- compressed sensing
- high dimensional
- decision making
- optimization problems
- machine learning
- image restoration