High-dimensional index tracking based on the adaptive elastic net (Q5139249)

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scientific article; zbMATH DE number 7282791

Language	Label	Description	Also known as
English	High-dimensional index tracking based on the adaptive elastic net	scientific article; zbMATH DE number 7282791

Statements

scholarly article

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High-dimensional index tracking based on the adaptive elastic net (English)

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Quantitative Finance

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publication date

7 December 2020

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zbMATH Keywords

index tracking

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sparsity

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cardinality

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Lasso

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2020.1737328

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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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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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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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Identifiers

zbMATH Open document ID

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10.1080/14697688.2020.1737328

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5139249

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