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Scalable Mean-Variance Portfolio Optimization via Subspace Embeddings and GPU-Friendly Nesterov-Accelerated Projected Gradient

Fuente: arXiv
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Bibliographic Details
Main Authors: Niu, Yi-Shuai, Wang, Yajuan
Format: Preprint
Published: 2026
Subjects:
Optimization and Control
Computational Engineering, Finance, and Science
Distributed, Parallel, and Cluster Computing
Machine Learning
Numerical Analysis
91G10, 90C20, 90C25, 90C06, 65K05, 65F55, 65Y05
Online Access:
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