Sparse index clones via the sorted \(\ell_1\)-norm (Q5068095)
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scientific article; zbMATH DE number 7503267
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Sparse index clones via the sorted \(\ell_1\)-norm |
scientific article; zbMATH DE number 7503267 |
Statements
Sparse index clones via the sorted ℓ<sub>1</sub>-Norm (English)
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5 April 2022
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index tracking
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hedge fund clones
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regularization
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SLOPE
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0.7701537609100342
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0.7652856707572937
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0.7599502205848694
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0.7539886236190796
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0.7450932860374451
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