Split Bregman iteration for multi-period mean variance portfolio optimization
Stefania Corsaro, Valentina De Simone, Zelda Marino
Topics & Concepts
Mathematical optimizationBregman divergenceMathematicsPortfolioContext (archaeology)Term (time)Investment strategyTime horizonComputer scienceApplied mathematicsFinanceEconomicsPaleontologyQuantum mechanicsBiologyPhysicsMarket liquidityStatistical Methods and InferenceStochastic processes and financial applicationsRisk and Portfolio Optimization