"Short-term Sparse Portfolio Optimization Based on Alternating Direction ..."

Zhao-Rong Lai et al. (2018)

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type: Journal Article

metadata version: 2024-09-11

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Zhao-Rong Lai, Pei-Yi Yang, Liangda Fang, Xiaotian Wu:
Short-term Sparse Portfolio Optimization Based on Alternating Direction Method of Multipliers. J. Mach. Learn. Res. 19: 63:1-63:28 (2018)

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