Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (Q744224): Difference between revisions

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+Ridge regression revisited
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+Sparse and stable Markowitz portfolios
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+Heuristics for cardinality constrained portfolio optimization
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+Heuristic algorithms for the cardinality constrained efficient frontier
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+Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
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+.1007/S10287-012-0158-Y
@@ Property / DOI: 10.1007/S10287-012-0158-Y / rank @@
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