A Fast Successive QP Algorithm for General Mean-Variance Portfolio Optimization.
Shengjie XiuXiwen WangDaniel P. PalomarPublished in: IEEE Trans. Signal Process. (2023)
Keyphrases
- search space
- objective function
- portfolio optimization
- optimization algorithm
- optimal solution
- simulated annealing
- k means
- support vector machine
- association rules
- evolutionary algorithm
- dynamic programming
- decision makers
- linear programming
- clustering method
- knapsack problem
- bi objective
- portfolio selection
- clustering algorithm