Scalable Mean-Variance Portfolio Optimization via Subspace Embeddings and GPU-Friendly Nesterov-Accelerated Projected Gradient
arXiv:2604.02917v1 Announce Type: cross
Abstract: We develop a sketch-based factor reduction and a Nesterov-accelerated projected gradient algorithm (NPGA) with GPU acceleration, yielding a doubly accelerated solver for large-scale constrained mean-va…