Robust enhanced indexation optimization with sparse industry Layout constraint (Q6065610)
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scientific article; zbMATH DE number 7765530
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| English | Robust enhanced indexation optimization with sparse industry Layout constraint |
scientific article; zbMATH DE number 7765530 |
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Robust enhanced indexation optimization with sparse industry Layout constraint (English)
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15 November 2023
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group-sparse optimization
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alternating minimization algorithm
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worst-case CVaR
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enhanced indexation
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out-of-sample analysis
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