Search Results for author: Yizun Lin

Found 2 papers, 0 papers with code

Autonomous Sparse Mean-CVaR Portfolio Optimization

no code implementations13 May 2024 Yizun Lin, Yangyu Zhang, Zhao-Rong Lai, Cheng Li

The $\ell_0$-constrained mean-CVaR model poses a significant challenge due to its NP-hard nature, typically tackled through combinatorial methods characterized by high computational demands.

Computational Efficiency Portfolio Optimization

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