Cardinality Constrained Portfolio Optimization via Alternating Direction Method of Multipliers

Zhanglei Shi, Xiao-peng Li, Chi-Sing Leung, Hing-Cheung So. Cardinality Constrained Portfolio Optimization via Alternating Direction Method of Multipliers. IEEE Transactions on Neural Networks, 35(2):2901-2909, February 2024. [doi]

Abstract

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