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, (6): 1452 -1501 . DOI: 10.4208/jcm.2207-m2021-0349