lo Norm sparse portfolio optimisation using proximal spectral gradient method on Malaysian stock market

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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...

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Bibliographic Details
Main Authors:	Choon, Kevin Liang Yew, Wai, Kuan Wong, Hong, Seng Sim, Yong, Kheng Goh, Wei, Yeing Pan, Shin, Zhu Sim
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2025
Online Access:	http://journalarticle.ukm.my/25314/ http://journalarticle.ukm.my/25314/1/ST%2024.pdf

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