Publication:3295337

zbMath1436.62493MaRDI QIDQ3295337

Sandra Paterlini, Davide Ferrari, Margherita Giuzio

Publication date: 8 July 2020

zbMATH Keywords

sparsity; index tracking; penalized least squares; \(q\)-entropy

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G10: Portfolio theory