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Short-term Sparse Portfolio Optimization Based on Alternating Direction Method of Multipliers

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Figure

Table 1: Average sparsity of the portfolios of SSPO on 5 benchmark data sets.
Figure 1: Portfolios produced by SSPO on 6 random investing days (2-nd,33-rd,450-th,276-th,127-th,98-th) of the DJIA data set
Table 2: Information of 5 benchmark data sets from real-world stock markets.
Figure 2: Box plots of asset price relatives on 5 benchmark data sets.
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