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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+On the role of norm constraints in portfolio selection
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+Ridge Regression: Biased Estimation for Nonorthogonal Problems
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+A hybrid optimization approach to index tracking
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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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