Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443)
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scientific article; zbMATH DE number 6636044
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| English | Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization |
scientific article; zbMATH DE number 6636044 |
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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0.7851343750953674
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0.7830771803855896
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0.7796133756637573
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0.7786588072776794
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0.7769362926483154
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