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General sparse risk parity portfolio design via successive convex optimization.

Linlong WuYiyong FengDaniel P. Palomar
Published in: Signal Process. (2020)
Keyphrases
  • convex optimization
  • basis pursuit
  • special case
  • interior point methods
  • primal dual
  • convex relaxation
  • total variation
  • convex optimization problems
  • norm regularization
  • low rank textures
  • loss function
  • group lasso