High-dimensional sparse index tracking based on a multi-step convex optimization approach
From MaRDI portal
Recommendations
- High-dimensional index tracking based on the adaptive elastic net
- Genetic algorithm versus classical methods in sparse index tracking
- Robust and sparse portfolio model for index tracking
- Nonnegative-Lasso and application in index tracking
- Nonnegative sparse group Lasso with an application in financial index tracking
Cites work
- A hybrid optimization approach to index tracking
- A new approach to variable selection in least squares problems
- A two-stage approach to the UCITS-constrained index-tracking problem
- Adaptive Bayesian SLOPE: Model Selection With Incomplete Data
- Cardinality versus \(q\)-norm constraints for index tracking
- Complexity of penalized likelihood estimation
- Constructing optimal sparse portfolios using regularization methods
- Differential evolution and combinatorial search for constrained index-tracking
- Discussion: One-step sparse estimates in nonconcave penalized likelihood models
- Enhancing sparsity by reweighted \(\ell _{1}\) minimization
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- scientific article; zbMATH DE number 1836443 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Kernel search: an application to the index tracking problem
- Nearly unbiased variable selection under minimax concave penalty
- Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
- Nonnegative elastic net and application in index tracking
- Nonnegative-Lasso and application in index tracking
- One-step sparse estimates in nonconcave penalized likelihood models
- Pathwise coordinate optimization
- Portfolio optimization with linear and fixed transaction costs
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
- Sparse index clones via the sorted \(\ell_1\)-norm
- Sparse Portfolios for High-Dimensional Financial Index Tracking
- Statistics for high-dimensional data. Methods, theory and applications.
- The Adaptive Lasso and Its Oracle Properties
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- When do stepwise algorithms meet subset selection criteria?
Cited in
(8)- Nonnegative-Lasso and application in index tracking
- Genetic algorithm versus classical methods in sparse index tracking
- Robust and sparse portfolio model for index tracking
- High-dimensional sparse portfolio selection with nonnegative constraint
- scientific article; zbMATH DE number 6719695 (Why is no real title available?)
- Nonnegative sparse group Lasso with an application in financial index tracking
- High-dimensional index tracking based on the adaptive elastic net
- An inertial block proximal alternating linearized minimization method for cardinality-constrained index tracking problems
This page was built for publication: High-dimensional sparse index tracking based on a multi-step convex optimization approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6053116)
