@article{JMLR:v19:17-558,
  author  = {Zhao-Rong Lai and Pei-Yi Yang and Liangda Fang and Xiaotian Wu},
  title   = {Short-term Sparse Portfolio Optimization Based on Alternating Direction Method of Multipliers},
  journal = {Journal of Machine Learning Research},
  year    = {2018},
  volume  = {19},
  number  = {63},
  pages   = {1--28},
  url     = {http://jmlr.org/papers/v19/17-558.html}
}