Closed-form solutions for short-term sparse portfolio optimization-Reference-Cited by-同舟云学术

Closed-form solutions for short-term sparse portfolio optimization

Published:2020-11-05 Issue: Volume: Page:1-17
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Luo Ziyan¹,Yu Xiaotong¹,Xiu Naihua¹,Wang Xingyuan¹

Affiliation:

1. Department of Mathematics, Beijing Jiaotong University, Beijing, People's Republic of China

Funder

National Natural Science Foundation of China

Beijing Natural Science Foundation

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2020.1839071

Reference27 articles.

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2. Portfolio Selection

3. Helmbold DP, Schapire RE, Singer Y, et al. On-line portfolio selection using multiplicative updates. Proc 13th Int Conf Mach Learn; 1996. p. 243–251.

4. Algorithms for portfolio management based on the Newton method

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