2 papers
math.OC2021
Proximal Linearized Method for Sparse Equity Portfolio Optimization with Minimum Transaction Cost
Hong Seng Sim, Wendy Shin Yie Ling, Wah June Leong +1
In this paper, we propose a sparse equity portfolio optimization (SEPO) based on the mean-variance portfolio selection model. Aimed at minimizing transaction cost by avoiding small…
math.CO2020
Ranks of Strictly Minimal Reaction Systems Induced by Permutations and Cartesian Product
Wen Chean Teh, Kien Trung Nguyen, Chuei Yee Chen
Reaction system is a computing model inspired by the biochemical interaction taking place within the living cells. Various extended or modified frameworks motivated by biological,…