A generalized description length approach for sparse and robust index tracking

zbMATH Open1436.62493MaRDI QIDQ3295337FDOQ3295337

Authors: Davide Ferrari, Margherita Giuzio, Sandra Paterlini 

Publication date: 8 July 2020

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zbMATH Keywords

sparsityindex trackingpenalized least squares\(q\)-entropy

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cited In (4)

• Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints
• Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization
• Title not available (Why is that?)
• Title not available (Why is that?)

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