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"A penalty decomposition algorithm with greedy improvement for ..."
Ahmad Mousavi, Jinglai Shen (2023)
- Ahmad Mousavi, Jinglai Shen:
A penalty decomposition algorithm with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints. Int. Trans. Oper. Res. 30(5): 2415-2435 (2023)
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