{"id":"https://openalex.org/W2005120624","doi":"https://doi.org/10.1016/j.csda.2013.07.010","title":"Solving norm constrained portfolio optimization via coordinate-wise descent algorithms","display_name":"Solving norm constrained portfolio optimization via coordinate-wise descent algorithms","publication_year":2013,"publication_date":"2013-08-09","ids":{"openalex":"https://openalex.org/W2005120624","doi":"https://doi.org/10.1016/j.csda.2013.07.010","mag":"2005120624"},"language":"en","primary_location":{"id":"doi:10.1016/j.csda.2013.07.010","doi":"https://doi.org/10.1016/j.csda.2013.07.010","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.csda.2013.07.010","pdf_url":null,"source":{"id":"https://openalex.org/S132362803","display_name":"Computational Statistics & Data Analysis","issn_l":"0167-9473","issn":["0167-9473","1872-7352"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-1","ki-jl-1","norway-1","poland-100","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Statistics & Data Analysis","raw_type":"journal-article"},"parent_works":[],"lineage":["https://openalex.org/W2005120624"],"child_works_count":0,"type":"article","is_traditional":true,"indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1005.5082","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044750921","display_name":"Yu-Min Yen","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I51434173","display_name":"Institute of Economics, Academia Sinica","ror":"https://ror.org/01y8gzr79","country_code":"TW","type":"facility","lineage":["https://openalex.org/I51434173","https://openalex.org/I84653119"]},{"id":"https://openalex.org/I84653119","display_name":"Academia Sinica","ror":"https://ror.org/05bxb3784","country_code":"TW","type":"facility","lineage":["https://openalex.org/I84653119"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Yu-Min Yen","raw_affiliation_strings":["Institute of Economics, Academa Sinica, 128 Academia Road, Section 2, Nankang, Taipei 115, Taiwan","Institute of Economics, Academa Sinica, 128 Academia Road, Section 2, Nankang, Taipei 115, Taiwan#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Economics, Academa Sinica, 128 Academia Road, Section 2, Nankang, Taipei 115, Taiwan","institution_ids":["https://openalex.org/I51434173","https://openalex.org/I84653119"]},{"raw_affiliation_string":"Institute of Economics, Academa Sinica, 128 Academia Road, Section 2, Nankang, Taipei 115, Taiwan#TAB#","institution_ids":["https://openalex.org/I51434173","https://openalex.org/I84653119"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5030473290","display_name":"Tso-Jung Yen","orcid":"https://orcid.org/0000-0002-7350-3966","observed_orcids":["https://orcid.org/0000-0002-7350-3966"]},"institutions":[{"id":"https://openalex.org/I4210141710","display_name":"Institute of Statistical Science, Academia Sinica","ror":"https://ror.org/044gv5910","country_code":"TW","type":"facility","lineage":["https://openalex.org/I4210141710","https://openalex.org/I84653119"]},{"id":"https://openalex.org/I84653119","display_name":"Academia Sinica","ror":"https://ror.org/05bxb3784","country_code":"TW","type":"facility","lineage":["https://openalex.org/I84653119"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Tso-Jung Yen","raw_affiliation_strings":["Institute of Statistical Science, Academia Sinica, 128 Academia Road, Section 2, Nankang, Taipei 11529, Taiwan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Statistical Science, Academia Sinica, 128 Academia Road, Section 2, Nankang, Taipei 11529, Taiwan","institution_ids":["https://openalex.org/I4210141710","https://openalex.org/I84653119"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5044750921"],"corresponding_institution_ids":["https://openalex.org/I51434173","https://openalex.org/I84653119"],"apc_list":{"value":3540,"currency":"USD","value_usd":3540},"apc_paid":null,"fwci":4.792,"has_fulltext":true,"cited_by_count":61,"citation_normalized_percentile":{"value":0.94228678,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"76","issue":null,"first_page":"737","last_page":"759"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9937000274658203,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9937000274658203,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.0026000000070780516,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0005000000237487257,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.9750000238418579},{"id":"https://openalex.org/keywords/minimum-variance-portfolio","display_name":"minimum variance portfolio","score":0.9070000052452087},{"id":"https://openalex.org/keywords/weighted-l1-norm","display_name":"weighted l1 norm","score":0.7549999952316284},{"id":"https://openalex.org/keywords/sparse-portfolios","display_name":"sparse portfolios","score":0.35100001096725464},{"id":"https://openalex.org/keywords/group-selection","display_name":"group selection","score":0.4659999907016754},{"id":"https://openalex.org/keywords/turnover-rate","display_name":"turnover rate","score":0.7540000081062317},{"id":"https://openalex.org/keywords/short-selling","display_name":"short selling","score":0.4869999885559082},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.8240000009536743}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6787184476852417},{"id":"https://openalex.org/C157553263","wikidata":"https://www.wikidata.org/wiki/Q5168004","display_name":"Coordinate descent","level":2,"score":0.6315984725952148},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6310842037200928},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6233463883399963},{"id":"https://openalex.org/C191795146","wikidata":"https://www.wikidata.org/wiki/Q3878446","display_name":"Norm (philosophy)","level":2,"score":0.6044654846191406},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.5789108872413635},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5724415183067322},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.5099056959152222},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.42625701427459717},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3451182246208191},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.07963621616363525},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.06748086214065552},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":10,"locations":[{"id":"doi:10.1016/j.csda.2013.07.010","doi":"https://doi.org/10.1016/j.csda.2013.07.010","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.csda.2013.07.010","pdf_url":null,"source":{"id":"https://openalex.org/S132362803","display_name":"Computational Statistics & Data Analysis","issn_l":"0167-9473","issn":["0167-9473","1872-7352"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-1","ki-jl-1","norway-1","poland-100","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Statistics & Data Analysis","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.1604093","doi":"https://doi.org/10.2139/ssrn.1604093","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1604093","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:arx:papers:1005.5082","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/1005.5082","pdf_url":"http://arxiv.org/pdf/1005.5082","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:1005.5082","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/1005.5082","pdf_url":"https://arxiv.org/pdf/1005.5082","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"mag:1717478130","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/1005.5082","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3123924494","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:arx:papers:1005.5082","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:eee:csdana:v:76:y:2014:i:c:p:737-759","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0167947313002557","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"doi:10.48550/arxiv.1005.5082","doi":"https://doi.org/10.48550/arxiv.1005.5082","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1005.5082","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},{"id":"mag:2998919904","doi":null,"is_oa":false,"landing_page_url":"https://dl.acm.org/doi/10.5555/2749479.2749603","pdf_url":null,"source":{"id":"https://openalex.org/S132362803","display_name":"Computational Statistics & Data Analysis","issn_l":"0167-9473","issn":["0167-9473","1872-7352"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-1","ki-jl-1","norway-1","poland-100","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":"Computational Statistics & Data Analysis","raw_type":null},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.750.5286","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.750.5286","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://arxiv.org/pdf/1005.5082.pdf","raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1005.5082","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/1005.5082","pdf_url":"https://arxiv.org/pdf/1005.5082","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2005120624.pdf","grobid_xml":"https://content.openalex.org/works/W2005120624.grobid-xml"},"referenced_works_count":51,"referenced_works":["https://openalex.org/W182472797","https://openalex.org/W1506342804","https://openalex.org/W1522805240","https://openalex.org/W1538863157","https://openalex.org/W1540764732","https://openalex.org/W1965125844","https://openalex.org/W1965169081","https://openalex.org/W1994484236","https://openalex.org/W1999409144","https://openalex.org/W2000632882","https://openalex.org/W2010824638","https://openalex.org/W2020925091","https://openalex.org/W2021384844","https://openalex.org/W2056636001","https://openalex.org/W2062125287","https://openalex.org/W2063978378","https://openalex.org/W2066405619","https://openalex.org/W2074682976","https://openalex.org/W2095984592","https://openalex.org/W2104623846","https://openalex.org/W2105630053","https://openalex.org/W2108973674","https://openalex.org/W2109718988","https://openalex.org/W2112261373","https://openalex.org/W2113328646","https://openalex.org/W2122825543","https://openalex.org/W2127000676","https://openalex.org/W2130885595","https://openalex.org/W2134056163","https://openalex.org/W2135046866","https://openalex.org/W2138019504","https://openalex.org/W2140917889","https://openalex.org/W2144809865","https://openalex.org/W2149144946","https://openalex.org/W2156114551","https://openalex.org/W2159307101","https://openalex.org/W2163969674","https://openalex.org/W2165408259","https://openalex.org/W2296319761","https://openalex.org/W2339561069","https://openalex.org/W2890140853","https://openalex.org/W2891118671","https://openalex.org/W2952116272","https://openalex.org/W3121183303","https://openalex.org/W3121489953","https://openalex.org/W3121553976","https://openalex.org/W3125319238","https://openalex.org/W4211015534","https://openalex.org/W4232474910","https://openalex.org/W6630354094","https://openalex.org/W6676459439"],"related_works":["https://openalex.org/W2339561069","https://openalex.org/W2075444192","https://openalex.org/W2964241813","https://openalex.org/W2127000676","https://openalex.org/W2986541001","https://openalex.org/W2761633770","https://openalex.org/W2982352288","https://openalex.org/W7098961569","https://openalex.org/W2999941322","https://openalex.org/W2607679900"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":5},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":9},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":6},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-11-15T12:55:33.944570","created_date":"2025-10-10T00:00:00"}