An event-triggered iteratively reweighted convex optimization approach to multi-period portfolio selection

Author:

Skomorokhov FilippORCID,Wang Jun,Ovchinnikov George,Burnaev Evgeny,Oseledets Ivan

Funder

Ministry of Education and Science of the Russian Federation

Publisher

Elsevier BV

Subject

Artificial Intelligence,Computer Science Applications,General Engineering

Reference47 articles.

1. Building a mean-downside risk portfolio frontier;de Athayde,2001

2. Multi-period portfolio selection: A practical simulation-based framework;Blay;Journal of Investment Management,2020

3. Performance bounds and suboptimal policies for multi-period investment;Boyd;Foundations and Trends® in Optimization,2014

4. Distributed optimization and statistical learning via the alternating direction method of multipliers;Boyd;Foundations and Trends® in Machine Learning,2010

5. Decentralized online convex optimization with event-triggered communications;Cao;IEEE Transactions on Signal Processing,2020

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