An inexact l2-norm penalty method for cardinality constrained portfolio optimization

@article{Jiang2019AnIL,
  title={An inexact l2-norm penalty method for cardinality constrained portfolio optimization},
  author={Tao Jiang and Shuo Wang and Ruochen Zhang and Lang Qin and Jinglian Wu and Delin Wang and Selin Damla Ahipasaoglu},
  journal={The Engineering Economist},
  year={2019},
  volume={64},
  pages={289 - 297}
}
Abstract We analyze and solve a single-period portfolio optimization problem with non-convex constraints, which address practical concerns of investment such as the active share weights of sectors and the number of stocks held in a portfolio. We reformulate the problem to simplify the computation and propose an inexact l2-norm penalty method to solve the problem. 
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