Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / zbMATH DE Number: 6636044 / rank | |||
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investment analysis | |||
| Property / zbMATH Keywords: investment analysis / rank | |||
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penalized least squares | |||
| Property / zbMATH Keywords: penalized least squares / rank | |||
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\(q\)-entropy | |||
| Property / zbMATH Keywords: \(q\)-entropy / rank | |||
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sparsity | |||
| Property / zbMATH Keywords: sparsity / rank | |||
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index tracking | |||
| Property / zbMATH Keywords: index tracking / rank | |||
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Revision as of 02:15, 28 June 2023
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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