Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (Q744224)
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scientific article; zbMATH DE number 6351723
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| English | Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios |
scientific article; zbMATH DE number 6351723 |
Statements
Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (English)
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6 October 2014
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portfolio optimization
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index tracking
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norm constraint
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regularization
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sparse portfolio
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greedy algorithm
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0.8289743661880493
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0.8163754940032959
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0.8126934766769409
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0.793703556060791
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0.787348747253418
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