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Fast algorithms for sparse portfolio selection considering industries and investment styles 期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2020, 页码: 27
Authors:  Dong, Zhi-Long;  Xu, Fengmin;  Dai, Yu-Hong
Favorite  |  View/Download:59/0  |  Submit date:2020/06/30
Portfolio selection  Industry classification  Style investment  ADMM  Sparse optimization  
Preface: special issue of MOA 2018 期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2020, 页码: 3
Authors:  Liu, Ya-Feng;  Xu, Fengmin;  Fan, Neng;  Peng, Jiming
Favorite  |  View/Download:58/0  |  Submit date:2020/05/24
A sparse enhanced indexation model with chance and cardinality constraints 期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2018, 卷号: 70, 期号: 1, 页码: 5-25
Authors:  Xu, Fengmin;  Wang, Meihua;  Dai, Yu-Hong;  Xu, Dachuan
Favorite  |  View/Download:68/0  |  Submit date:2018/07/30
Enhanced indexation  Chance constraint  Mixed integer programming  Distributionally robust approach