Robust and sparse portfolio model for index tracking
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Publication:2314467
zbMath1438.91138MaRDI QIDQ2314467
Chao Zhang, Nai-Hua Xiu, Jing-jing Wang
Publication date: 23 July 2019
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
index trackingnorm constraint\(\ell_{p}\)-regularizationlimiting stationary pointrobust and sparse portfolioshortsalesmoothing projected gradient method
Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Portfolio theory (91G10)
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