Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection
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DOI: 10.1080/10556788.2022.2142580
Abstract: In portfolio optimization, non-convex regularization has recently been recognized as an important approach to promote sparsity, while countervailing the shortcomings of convex penalty. In this paper, we customize the non-convex piecewise quadratic approximation (PQA) function… read more here.
Keywords: non convex; portfolio; algorithm; regularization ... See more keywords