A Scalable Algorithm for Sparse Portfolio Selection

Dimitris Bertsimas, Ryan Cory-Wright

Open source

DOI: 10.1287/ijoc.2021.1127
Published: 2022-05
Container: INFORMS Journal on Computing
Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
Open access: unknown

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Cite this work

BibTeX

@article{allodium:10.1287/ijoc.2021.1127,
  title = {A Scalable Algorithm for Sparse Portfolio Selection},
  author = {Dimitris Bertsimas and Ryan Cory-Wright},
  year = {2022},
  journal = {INFORMS Journal on Computing},
  doi = {10.1287/ijoc.2021.1127},
  url = {https://doi.org/10.1287/ijoc.2021.1127}
}

RIS

TY  - JOUR
TI  - A Scalable Algorithm for Sparse Portfolio Selection
AU  - Dimitris Bertsimas
AU  - Ryan Cory-Wright
PY  - 2022
JO  - INFORMS Journal on Computing
DO  - 10.1287/ijoc.2021.1127
UR  - https://doi.org/10.1287/ijoc.2021.1127
ER  -

APA

Bertsimas, D., & Cory-Wright, R. (2022). A Scalable Algorithm for Sparse Portfolio Selection. INFORMS Journal on Computing. https://doi.org/10.1287/ijoc.2021.1127

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crossref · retrieved 2026-09-25T16:39:40.848Z