Sparse Portfolios for High-Dimensional Financial Index Tracking

DOI10.1109/TSP.2017.2762286zbMath1414.91330OpenAlexW2760945190MaRDI QIDQ4621524

Yiyong Feng, Konstantinos Benidis, Daniel P. Palomar

Publication date: 12 February 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tsp.2017.2762286

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (14)

Sparse index tracking using sequential Monte Carlo ⋮ A two-stage approach to the UCITS-constrained index-tracking problem ⋮ Polynomial goal programming and particle swarm optimization for enhanced indexation ⋮ Myopic robust index tracking with Bregman divergence ⋮ Portfolio construction as linearly constrained separable optimization ⋮ An integrated precision matrix estimation for multivariate regression problems ⋮ High-dimensional sparse index tracking based on a multi-step convex optimization approach ⋮ A novel regularization-based optimization approach to sparse mean-reverting portfolios selection ⋮ An enhanced GRASP approach for the index tracking problem ⋮ Risk-allocation-based index tracking ⋮ A Path-Based Approach to Constrained Sparse Optimization ⋮ High-dimensional sparse portfolio selection with nonnegative constraint ⋮ High-dimensional index tracking based on the adaptive elastic net ⋮ Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures

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