l0-norm based Short-term Sparse Portfolio Optimization Algorithm Based on Alternating Direction Method of Multipliers

Hao Wang 0075, Wanying Zhang, Yuxin He, Wenming Cao 0001. l0-norm based Short-term Sparse Portfolio Optimization Algorithm Based on Alternating Direction Method of Multipliers. Signal Processing, 208:108957, July 2023. [doi]

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