AN INEXACT PROXIMAL DC ALGORITHM FOR THE LARGE-SCALE CARDINALITY CONSTRAINED MEAN-VARIANCE MODEL IN SPARSE PORTFOLIO SELECTION

Mingcai Ding, Xiaoliang Song, Bo Yu

Journal of Computational Mathematics ›› 2024, Vol. 42 ›› Issue (6) : 1452-1501.

中国科学院数学与系统科学研究院期刊网
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Journal of Computational Mathematics ›› 2024, Vol. 42 ›› Issue (6) : 1452-1501. DOI: 10.4208/jcm.2207-m2021-0349

AN INEXACT PROXIMAL DC ALGORITHM FOR THE LARGE-SCALE CARDINALITY CONSTRAINED MEAN-VARIANCE MODEL IN SPARSE PORTFOLIO SELECTION

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Computational Mathematics, 2024, 42(6): 1452-1501 https://doi.org/10.4208/jcm.2207-m2021-0349

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