Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (Q744224): Difference between revisions
From MaRDI portal
Normalize DOI. |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1007/S10287-012-0158-Y / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1007/S10287-012-0158-Y / rank | |||
Normal rank | |||
Latest revision as of 02:52, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios |
scientific article |
Statements
Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (English)
0 references
6 October 2014
0 references
portfolio optimization
0 references
index tracking
0 references
norm constraint
0 references
regularization
0 references
sparse portfolio
0 references
greedy algorithm
0 references
0 references
0 references
0 references
