Liu, Han; Mulvey, John; Zhao, Tianqi A semiparametric graphical modelling approach for large-scale equity selection. (English) Zbl 1468.91150 Quant. Finance 16, No. 7, 1053-1067 (2016). MSC: 91G15 62P05 62H05 PDFBibTeX XMLCite \textit{H. Liu} et al., Quant. Finance 16, No. 7, 1053--1067 (2016; Zbl 1468.91150) Full Text: DOI Link
Vanderbei, Robert; Lin, Kevin; Liu, Han; Wang, Lie Revisiting compressed sensing: exploiting the efficiency of simplex and sparsification methods. (English) Zbl 1353.65057 Math. Program. Comput. 8, No. 3, 253-269 (2016). MSC: 65K05 90C05 90C51 90C06 94A12 PDFBibTeX XMLCite \textit{R. Vanderbei} et al., Math. Program. Comput. 8, No. 3, 253--269 (2016; Zbl 1353.65057) Full Text: DOI Link