An Inexact L(2)-Norm Penalty Method For Cardinality Constrained Portfolio Optimization
The Engineering Economist(2019)
摘要
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 l(2)-norm penalty method to solve the problem.
更多查看译文
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要