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math.OC2024
A Globally Optimal Portfolio for m-Sparse Sharpe Ratio Maximization
Yizun Lin, Zhao-Rong Lai, Cheng Li
The Sharpe ratio is an important and widely-used risk-adjusted return in financial engineering. In modern portfolio management, one may require an m-sparse (no more than m active a…
math.OC2024★ 1 cited
Autonomous Sparse Mean-CVaR Portfolio Optimization
Yizun Lin, Yangyu Zhang, Zhao-Rong Lai +1
The -constrained mean-CVaR model poses a significant challenge due to its NP-hard nature, typically tackled through combinatorial methods characterized by high computationa…
math.OC2023
Globally Optimal Solutions to a Class of Fractional Optimization Problems Based on Proximal Gradient Algorithm
Yizun Lin, Jian-Feng Cai, Zhao-Rong Lai +1
This paper investigates a category of constrained fractional optimization problems that emerge in various practical applications. The objective function for this category is charac…