Nonnegative elastic net and application in index tracking
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Publication:2396496
DOI10.1016/J.AMC.2013.11.049zbMATH Open1364.91156OpenAlexW2000260853MaRDI QIDQ2396496FDOQ2396496
Authors: Lan Wu, Yuehan Yang 
Publication date: 8 June 2017
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2013.11.049
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Cites Work
- The Adaptive Lasso and Its Oracle Properties
- Least angle regression. (With discussion)
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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- High-dimensional graphs and variable selection with the Lasso
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- Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
- Regularization and Variable Selection Via the Elastic Net
- Model Selection and Estimation in Regression with Grouped Variables
- Title not available (Why is that?)
- Nonnegative-Lasso and application in index tracking
- Multiplicative Updates for Nonnegative Quadratic Programming
- On model selection consistency of the elastic net when \(p \gg n\)
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
Cited In (25)
- Minute-ahead stock price forecasting based on singular spectrum analysis and support vector regression
- Nonnegative estimation and variable selection via adaptive elastic-net for high-dimensional data
- Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures
- Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- An index tracking model with stratified sampling and optimal allocation
- Model selection consistency of Lasso for empirical data
- Efficient sparse portfolios based on composite quantile regression for high-dimensional index tracking
- Penalized and constrained LAD estimation in fixed and high dimension
- Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints
- Risk-allocation-based index tracking
- Nonnegative estimation and variable selection under minimax concave penalty for sparse high-dimensional linear regression models
- High-dimensional index tracking based on the adaptive elastic net
- A dual based semismooth Newton-type algorithm for solving large-scale sparse Tikhonov regularization problems
- High-dimensional sparse portfolio selection with nonnegative constraint
- Nonparametric estimation of the random coefficients model: an elastic net approach
- High-dimensional sign-constrained feature selection and grouping
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
- Cardinality-constrained risk parity portfolios
- An integrated precision matrix estimation for multivariate regression problems
- Time-weighted nonnegative bridge index-tracking model and its application
- Nonnegative group bridge and application in financial index tracking
- Rates of convergence of the adaptive elastic net and the post-selection procedure in ultra-high dimensional sparse models
- Variable selection and regularization via arbitrary rectangle-range generalized elastic net
- One-step sparse estimates in the reverse penalty for high-dimensional correlated data
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