A generalized description length approach for sparse and robust index tracking

MaRDI QIDQ3295337zbMATHFDO

Authors Davide Ferrari, Margherita Giuzio, Sandra Paterlini

Publication date 8 July 2020

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)

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Cited in

(4)

• Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints
• scientific article; zbMATH DE number 2042818 (Why is no real title available?)
• Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization
• scientific article; zbMATH DE number 6719695 (Why is no real title available?)

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