Sparse index clones via the sorted _1-norm

DOI10.1080/14697688.2021.1962539MaRDI QIDQ5068095zbMATH OpenOpenAlexFDO

Authors Philipp J. Kremer, Damian Brzyski, Małgorzata Bogdan, Sandra Paterlini

Publication date 5 April 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2021.1962539

zbMATH Keywords

hedge fund clonesindex trackingregularizationSLOPE

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

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Cites work

• 10.1162/153244303322753751
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Cardinality versus \(q\)-norm constraints for index tracking
• Constructing optimal sparse portfolios using regularization methods
• Differential evolution and combinatorial search for constrained index-tracking
• Enhancing sparsity by reweighted \(\ell _{1}\) minimization
• Genetic algorithm versus classical methods in sparse index tracking
• Group SLOPE – Adaptive Selection of Groups of Predictors
• scientific article; zbMATH DE number 1836443 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Identifying important predictors in large data bases -- multiple testing and model selection
• Linear Inversion of Band-Limited Reflection Seismograms
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Risk minimization in multi-factor portfolios: what is the best strategy?
• Simultaneous Regression Shrinkage, Variable Selection, and Supervised Clustering of Predictors with OSCAR
• SLOPE is adaptive to unknown sparsity and asymptotically minimax
• Slope meets Lasso: improved oracle bounds and optimality
• SLOPE-adaptive variable selection via convex optimization
• Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
• Sparse and stable Markowitz portfolios
• Sparse weighted-norm minimum variance portfolios
• The elements of statistical learning. Data mining, inference, and prediction
• Tracking hedge funds returns using sparse clones
• Un-diversifying during crises: is it a good idea?
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Vast portfolio selection with gross-exposure constraints

Cited in

(10)

• Tracking hedge funds returns using sparse clones
• Hedge fund replication: a model combination approach
• Index tracking based on sparse-group Lasso
• Pattern recovery and signal denoising by SLOPE when the design matrix is orthogonal
• Safe Rules for the Identification of Zeros in the Solutions of the SLOPE Problem
• High-dimensional sparse index tracking based on a multi-step convex optimization approach
• Pattern recovery by SLOPE
• Sparse portfolio selection via topological data analysis based clustering
• Sparse graphical modelling for global minimum variance portfolio
• An inertial block proximal alternating linearized minimization method for cardinality-constrained index tracking problems

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