An alternating direction method of multipliers for utility-based shortfall risk portfolio optimization

European Journal of Operational Research 2026 Open access

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Authors: Rufeng Xiao, Zhiping Li, Rujun Jiang
DOI: 10.1016/j.ejor.2026.09.001
Cited by: 0

Fields of Study & Subjects

Risk and Portfolio Optimization Stochastic Gradient Optimization Techniques Sparse and Compressive Sensing Techniques

Publication details

Journal / source
European Journal of Operational Research
Publication date
1 September 2026
Language
EN