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={T. Jiang and S. Wang and Ruochen Zhang and L. Qin and J. Wu and Delin Wang and S. D. Ahipasaoglu},
  journal={The Engineering Economist},
  year={2019},
  volume={64},
  pages={289 - 297}
}
  • T. Jiang, S. Wang, +4 authors S. D. Ahipasaoglu
  • Published 2019
  • Computer Science
  • The Engineering Economist
  • 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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