High-dimensional index tracking based on the adaptive elastic net (Q5139249): Difference between revisions

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+On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
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+An evolutionary heuristic for the index tracking problem.
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+Sparse Portfolios for High-Dimensional Financial Index Tracking
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+Mixed-integer programming approaches for index tracking and enhanced indexation
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+Heuristics for cardinality constrained portfolio optimization
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+Integrated simulation and optimization models for tracking international fixed income indices
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+Least angle regression. (With discussion)
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+Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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+Cardinality versus<i>q</i>-norm constraints for index tracking
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+Q4782130
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+Kernel search: an application to the index tracking problem
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+Differential evolution and combinatorial search for constrained index-tracking
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+A hybrid optimization approach to index tracking
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+Exact and heuristic approaches for the index tracking problem with UCITS constraints
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+A two-stage approach to the UCITS-constrained index-tracking problem
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+Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
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+Q4864293
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+Sparsity and Smoothness Via the Fused Lasso
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+Convergence of a block coordinate descent method for nondifferentiable minimization
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+Nonnegative elastic net and application in index tracking
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+Nonnegative-Lasso and application in index tracking
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+Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
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+Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
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+The Adaptive Lasso and Its Oracle Properties
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+Regularization and Variable Selection Via the Elastic Net
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+On the adaptive elastic net with a diverging number of parameters
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