Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443): Difference between revisions
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Revision as of 22:43, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization |
scientific article |
Statements
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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