lo Norm sparse portfolio optimisation using proximal spectral gradient method on Malaysian stock market
In this paper, we introduce a modified norm-constraint mean-variance portfolio selection method. First, we use the Augmented Lagrangian method (ALM) to convert the objective function to an unconstrained objective function. Then, we apply the proximal spectral gradient method (PSG) onto the unconstra...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2025
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| Online Access: | http://journalarticle.ukm.my/25314/ http://journalarticle.ukm.my/25314/1/ST%2024.pdf |