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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:1/0  |  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:2/0  |  Submit date:2020/05/24
Efficient projected gradient methods for cardinality constrained optimization 期刊论文
SCIENCE CHINA-MATHEMATICS, 2019, 卷号: 62, 期号: 2, 页码: 245-268
Authors:  Xu, Fengmin;  Dai, Yuhong;  Zhao, Zhihu;  Xu, Zongben
Favorite  |  View/Download:10/0  |  Submit date:2019/04/02
sparse approximation  projected gradient method  global convergence  signal recovery  index tracking  
efficientprojectedgradientmethodsforcardinalityconstrainedoptimization 期刊论文
sciencechinamathematics, 2019, 卷号: 62, 期号: 2, 页码: 245
Authors:  Xu Fengmin;  Dai Yuhong;  Zhao Zhihu;  Xu Zongben
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A ROBUST INTERIOR POINT METHOD FOR COMPUTING THE ANALYTIC CENTER OF AN ILL-CONDITIONED POLYTOPE WITH ERRORS 期刊论文
JOURNAL OF COMPUTATIONAL MATHEMATICS, 2019, 卷号: 37, 期号: 6, 页码: 843-865
Authors:  Wang, Zhouhong;  Dai, Yuhong;  Xu, Fengmin
Favorite  |  View/Download:2/0  |  Submit date:2020/05/24
Analytic center  Ill-conditioning  Unboundedness  Primal-dual interior point algorithm  Convergence  Polynomial complexity  
An index tracking model with stratified sampling and optimal allocation 期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2018, 卷号: 34, 期号: 2, 页码: 144-157
Authors:  Wang, Meihua;  Xu, Fengmin;  Dai, Yu-Hong
Favorite  |  View/Download:13/0  |  Submit date:2018/07/30
index tracking  out-of-sample performance  stratified sampling  stratified hybrid genetic algorithm  s-rar crossover  
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:9/0  |  Submit date:2018/07/30
Enhanced indexation  Chance constraint  Mixed integer programming  Distributionally robust approach  
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
Authors:  Xu, Fengmin;  Wang, Meihua;  Dai, Yu-Hong;  Xu, Dachuan
Favorite  |  View/Download:4/0  |  Submit date:2019/12/31
An index tracking model with stratified sampling and optimal allocation 期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2018, 卷号: 34, 期号: 2, 页码: 144
Authors:  Wang, Meihua;  Xu, Fengmin;  Dai, Yu-Hong
Favorite  |  View/Download:4/0  |  Submit date:2019/12/31
稀疏线性规划研究 期刊论文
计算数学, 2018, 卷号: 040, 期号: 004, 页码: 339
Authors:  陈圣杰;  戴或虹;  徐凤敏
Favorite  |  View/Download:7/0  |  Submit date:2020/01/10