Skip to content
Zhao-Rong Lai, Pei-Yi Yang, Liangda Fang and Xiaotian Wu. "Short-term Sparse Portfolio Optimization based on Alternating Direction Method of Multipliers", Journal of Machine Learning Research, vol. 19, no. 63, pp. 1-28, 2018.
MATLAB
Branch: master
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Type Name Latest commit message Commit time
Failed to load latest commit information.
README.md
SSPO_fun.m
SSPO_run.m
simplex_projection_selfnorm2.m

README.md

SSPO

Zhao-Rong Lai, Pei-Yi Yang, Liangda Fang and Xiaotian Wu. "Short-term Sparse Portfolio Optimization based on Alternating Direction Method of Multipliers", Journal of Machine Learning Research, vol. 19, no. 63, pp. 1-28, 2018. http://jmlr.org/papers/v19/17-558.html

THIS SOURCE CODE IS SUPPLIED “AS IS” WITHOUT WARRANTY OF ANY KIND, AND ITS AUTHOR AND THE JOURNAL OF MACHINE LEARNING RESEARCH (JMLR) AND JMLR’S PUBLISHERS AND DISTRIBUTORS, DISCLAIM ANY AND ALL WARRANTIES, INCLUDING BUT NOT LIMITED TO ANY IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE, AND ANY WARRANTIES OR NON INFRINGEMENT. THE USER ASSUMES ALL LIABILITY AND RESPONSIBILITY FOR USE OF THIS SOURCE CODE, AND NEITHER THE AUTHOR NOR JMLR, NOR JMLR’S PUBLISHERS AND DISTRIBUTORS, WILL BE LIABLE FOR DAMAGES OF ANY KIND RESULTING FROM ITS USE. Without limiting the generality of the foregoing, neither the author, nor JMLR, nor JMLR’s publishers and distributors, warrant that the Source Code will be error-free, will operate without interruption, or will meet the needs of the user.

You can’t perform that action at this time.