Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443)
From MaRDI portal
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)
0 references
7 October 2016
0 references
investment analysis
0 references
penalized least squares
0 references
\(q\)-entropy
0 references
sparsity
0 references
index tracking
0 references
0 references
0 references
0 references
0 references
