Sparse Non-Convex Optimization For Higher Moment Portfolio Management.
Farshad NoraveshPublished in: CoRR (2022)
Keyphrases
- convex optimization
- portfolio management
- basis pursuit
- interior point methods
- portfolio optimization
- low rank matrix
- portfolio selection
- primal dual
- financial data
- transaction costs
- convex optimization problems
- total variation
- norm minimization
- low rank
- factor analysis
- decision making
- denoising
- high dimensional
- problems involving
- discriminant analysis
- sparse representation
- image restoration
- dimensionality reduction
- face recognition