Autonomous sparse Markowitz portfolio based on two-stage accelerated forward-backward algorithm

Yizun Lin, Linhui Wang, Zhao-Rong Lai. Autonomous sparse Markowitz portfolio based on two-stage accelerated forward-backward algorithm. Expert Syst. Appl., 271:126598, 2025. [doi]

Authors

Yizun Lin

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Linhui Wang

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Zhao-Rong Lai

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