collaborators

1 paper

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…