"Solving norm constrained portfolio optimization via coordinate-wise ..."

Yu-Min Yen, Tso-Jung Yen (2014)

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DOI: 10.1016/J.CSDA.2013.07.010

access: closed

type: Journal Article

metadata version: 2020-02-18

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Yu-Min Yen, Tso-Jung Yen:
Solving norm constrained portfolio optimization via coordinate-wise descent algorithms. Comput. Stat. Data Anal. 76: 737-759 (2014)

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