Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection-Reference-Cited by-同舟云学术

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Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection

Published:2022-11-10 Issue:2 Volume:38 Page:434-456
ISSN:1055-6788
Container-title:Optimization Methods and Software
language:en
Short-container-title:Optimization Methods and Software

Author:

Li Qian¹,Zhang Wei²,Wang Guoqiang¹,Bai Yanqin³

Affiliation:

1. School of Mathematics, Physics and Statistics, Shanghai University of Engineering Science, Shanghai, People's Republic of China

2. School of Mathematics, South China University of Technology, Guangzhou, People's Republic of China

3. Department of Mathematics, Shanghai University, Shanghai,People's Republic of China

Funder

National Natural Science Foundation of China

Shanghai Municipal Education Commission

Publisher

Informa UK Limited

Subject

Applied Mathematics,Control and Optimization,Software

Link

https://www.tandfonline.com/doi/pdf/10.1080/10556788.2022.2142580

Reference35 articles.

1. A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems

2. Complexity analysis of interior point algorithms for non-Lipschitz and nonconvex minimization

3. Sparse and stable Markowitz portfolios

4. Exact Reconstruction of Sparse Signals via Nonconvex Minimization

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1. An asset subset-constrained minimax optimization framework for online portfolio selection;Expert Systems with Applications;2024-11

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