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AN INEXACT PROXIMAL DC ALGORITHM FOR THE LARGE-SCALE CARDINALITY CONSTRAINED MEAN-VARIANCE MODEL IN SPARSE PORTFOLIO SELECTION: 《Journal of Computational Mathematics》2024年第6期1452-1501,共50页Mingcai Ding Xiaoliang Song Bo Yu; supported by the National Natural Science Foundation of China(Grant No.11971092);supported by the Fundamental Research Funds for the Central Universities(Grant No.DUT20RC(3)079)。; Optimization problem of cardinality constrained mean-variance(CCMV)model for sparse portfolio selection is considered.To overcome the difficulties caused by cardinality constraint,an exact penalty approach is employed...; 关键词：Sparse portfolio selection Cardinality constrained mean-variance model Inexact proximal difference-of-convex-functions algorithm Sieving strategy Decomposed strategy

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