I'm currently reading this paper: "A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization". Here is the link to paper: "https://www.researchgate.net/publication/329132975_A_Relaxed_Optimization_Approach_for_Cardinality-Constrained_Portfolio_Optimization"
I'm trying to calculate Algorithm 1 in the paper by python but I have no idea how to do it.
Can anyone share to me the code for this algorithm?
Thank u all!
