Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443): Difference between revisions

@@ Property / DOI @@
-.1016/j.ejor.2015.08.056
@@ Property / DOI: 10.1016/j.ejor.2015.08.056 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
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+6636044
@@ Property / zbMATH DE Number: 6636044 / rank @@
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@@ Property / zbMATH Keywords @@
+investment analysis
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@@ Property / zbMATH Keywords @@
+penalized least squares
@@ Property / zbMATH Keywords: penalized least squares / rank @@
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@@ Property / zbMATH Keywords @@
+\(q\)-entropy
@@ Property / zbMATH Keywords: \(q\)-entropy / rank @@
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@@ Property / zbMATH Keywords @@
+sparsity
@@ Property / zbMATH Keywords: sparsity / rank @@
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@@ Property / zbMATH Keywords @@
+index tracking
@@ Property / zbMATH Keywords: index tracking / rank @@
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+.1016/J.EJOR.2015.08.056
@@ Property / DOI: 10.1016/J.EJOR.2015.08.056 / rank @@
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+Publication:322443