Nonnegative elastic net and application in index tracking

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Cites work

scientific article; zbMATH DE number 5957408 (Why is no real title available?)
scientific article; zbMATH DE number 49190 (Why is no real title available?)
scientific article; zbMATH DE number 845714 (Why is no real title available?)
Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
High-dimensional graphs and variable selection with the Lasso
Least angle regression. (With discussion)
Model Selection and Estimation in Regression with Grouped Variables
Multiplicative Updates for Nonnegative Quadratic Programming
Nonnegative-Lasso and application in index tracking
On model selection consistency of the elastic net when $p \gg n$
Regularization and Variable Selection Via the Elastic Net
Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
The Adaptive Lasso and Its Oracle Properties
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

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Variable selection and regularization via arbitrary rectangle-range generalized elastic net
Minute-ahead stock price forecasting based on singular spectrum analysis and support vector regression
One-step sparse estimates in the reverse penalty for high-dimensional correlated data
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
Model selection consistency of Lasso for empirical data
An index tracking model with stratified sampling and optimal allocation
High-dimensional sparse index tracking based on a multi-step convex optimization approach
Penalized and constrained LAD estimation in fixed and high dimension
Efficient sparse portfolios based on composite quantile regression for high-dimensional index tracking
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
Nonnegative sparse group Lasso with an application in financial index tracking
Nonnegative-Lasso and application in index tracking
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
Rates of convergence of the adaptive elastic net and the post-selection procedure in ultra-high dimensional sparse models
Time-weighted nonnegative bridge index-tracking model and its application
Nonnegative group bridge and application in financial index tracking

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