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Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm.
Qian Li
Yanqin Bai
Xin Yan
Wei Zhang
Published in:
Optim. Methods Softw. (2019)
Keyphrases
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dynamic programming
portfolio selection
computational complexity
cost function
learning algorithm
particle swarm optimization
risk management
portfolio management
objective function
long term
np hard
convergence rate
robust optimization