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

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Property / DOI: 10.1016/j.ejor.2015.08.056 / rank
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Latest revision as of 14:20, 9 December 2024

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Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization
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    Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (English)
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    7 October 2016
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    investment analysis
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    penalized least squares
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    \(q\)-entropy
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    sparsity
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    index tracking
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