A Scalable Algorithm For Sparse Portfolio Selection

The sparse portfolio selection problem is one of the most famous and frequently-studied problems in the optimization and financial economics literatures. In a universe of risky assets, the goal is to construct a portfolio with maximal expected return and minimum variance, subject to an upper bound o...

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Vydané v:	arXiv.org
Hlavní autori:	Bertsimas, Dimitris, Cory-Wright, Ryan
Médium:	Paper
Jazyk:	English
Vydavateľské údaje:	Ithaca Cornell University Library, arXiv.org 28.03.2021
Predmet:	Algorithms Approximation Cutting Economic conditions Economic models Heuristic methods Linear functions Lower bounds Optimization Performance enhancement Portfolio management Representations Upper bounds
ISSN:	2331-8422
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