Fast algorithms for sparse portfolio selection considering industries and investment styles
文献类型：期刊论文
| 作者 | Dong, Zhi-Long1; Xu, Fengmin1; Dai, Yu-Hong2 |
| 刊名 | JOURNAL OF GLOBAL OPTIMIZATION
 |
| 出版日期 | 2020-05-25 |
| 页码 | 27 |
| 关键词 | Portfolio selection Industry classification Style investment ADMM Sparse optimization |
| ISSN号 | 0925-5001 |
| DOI | 10.1007/s10898-020-00911-1 |
| 英文摘要 | In this paper, we consider a large scale portfolio selection problem with and without a sparsity constraint. Neutral constraints on industries are included as well as investment styles. To develop fast algorithms for the use in the real financial market, we shall expose the special structure of the problem, whose Hessian is the summation of a diagonal matrix and a low rank modification. Specifically, an interior point algorithm taking use of the Sherman-Morrison-Woodbury formula is designed to solve the problem without any sparsity constraint. The complexity in each iteration of the proposed algorithm is shown to be linear with the problem dimension. In the occurrence of a sparsity constraint, we propose an efficient three-block alternating direction method of multipliers, whose subproblems are easy to solve. Extensive numerical experiments are conducted, which demonstrate the efficiency of the proposed algorithms compared with some state-of-the-art solvers. |
| 资助项目 | National Natural Science Foundation of China[11631013] ; National Natural Science Foundation of China[11991021] ; National Natural Science Foundation of China[11991020] ; National Natural Science Foundation of China[11971372] ; National Natural Science Foundation of China[11801433] ; National Natural Science Foundation of China[71501155] ; National Natural Science Foundation of China[11571271] ; Beijing Academy of Artificial Intelligence (BAAI) |
| WOS研究方向 | Operations Research & Management Science ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000535168700001 |
| 出版者 | SPRINGER |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/51479]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Xu, Fengmin |
| 作者单位 | 1.Xi An Jiao Tong Univ, Sch Econ & Finance, Xian 710061, Shaanxi, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Dong, Zhi-Long,Xu, Fengmin,Dai, Yu-Hong. Fast algorithms for sparse portfolio selection considering industries and investment styles[J]. JOURNAL OF GLOBAL OPTIMIZATION,2020:27. |
| APA | Dong, Zhi-Long,Xu, Fengmin,&Dai, Yu-Hong.(2020).Fast algorithms for sparse portfolio selection considering industries and investment styles.JOURNAL OF GLOBAL OPTIMIZATION,27. |
| MLA | Dong, Zhi-Long,et al."Fast algorithms for sparse portfolio selection considering industries and investment styles".JOURNAL OF GLOBAL OPTIMIZATION (2020):27. |
入库方式： OAI收割
来源：数学与系统科学研究院
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