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"A penalty decomposition algorithm with greedy improvement for ..."

Name: dblp XML data dump
Creator: Schloss Dagstuhl - Leibniz Center for Informatics
Published: 1993
License: https://creativecommons.org/publicdomain/zero/1.0/
Keywords: dblp, XML, computer science, scholarly publications, metadata

Ahmad Mousavi, Jinglai Shen (2023)

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DOI: 10.1111/ITOR.13123

access: closed

type: Journal Article

metadata version: 2023-06-02

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Ahmad Mousavi, Jinglai Shen:
A penalty decomposition algorithm with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints. Int. Trans. Oper. Res. 30(5): 2415-2435 (2023)

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