Robust and sparse portfolio model for index tracking (Q2314467)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust and sparse portfolio model for index tracking |
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Robust and sparse portfolio model for index tracking (English)
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23 July 2019
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robust and sparse portfolio
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index tracking
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\(\ell_{p}\)-regularization
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norm constraint
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shortsale
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smoothing projected gradient method
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limiting stationary point
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