Yau's affine-normal descent enables scalable unrestricted higher-moment portfolio optimization by working directly with the return matrix and exploiting quartic structure for exact oracles and line searches.
//arxiv.org/abs/2302.10573
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Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization
Yau's affine-normal descent enables scalable unrestricted higher-moment portfolio optimization by working directly with the return matrix and exploiting quartic structure for exact oracles and line searches.