Abstract We analyze and solve a single-period portfolio optimization problem with non-convex constraints, which address practical concerns of investment such as the active share weights of sectors and the number of stocks held in a portfolio. We reformulate the problem to simplify the computation and propose an inexact l2-norm penalty method to solve the problem.

中文翻译：

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基数约束投资组合优化的不精确l2范数惩罚方法

摘要 我们分析并解决了具有非凸约束的单周期投资组合优化问题，该问题解决了投资的实际问题，例如行业的活跃份额权重和投资组合中持有的股票数量。我们重新制定问题以简化计算，并提出了一种不精确的 l2 范数惩罚方法来解决该问题。