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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Veröffentlicht in:	arXiv.org
Hauptverfasser:	Bertsimas, Dimitris, Cory-Wright, Ryan
Format:	Paper
Sprache:	Englisch
Veröffentlicht:	Ithaca Cornell University Library, arXiv.org 28.03.2021
Schlagworte:	Algorithms Approximation Cutting Economic conditions Economic models Heuristic methods Linear functions Lower bounds Optimization Performance enhancement Portfolio management Representations Upper bounds
ISSN:	2331-8422
Online-Zugang:	Volltext
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