An event-triggered iteratively reweighted convex optimization approach to multi-period portfolio selection.
Filipp SkomorokhovJun WangGeorge V. OvchinnikovEvgeny BurnaevIvan V. OseledetsPublished in: Expert Syst. Appl. (2023)
Keyphrases
- convex optimization
- portfolio selection
- multi period
- production planning
- facility location problem
- planning horizon
- data envelopment analysis
- routing problem
- total cost
- low rank
- financial markets
- robust optimization
- lot sizing
- total variation
- multiple objectives
- primal dual
- integer programming
- news articles
- computational complexity
- facility location
- supply chain