Cardinality versusq-norm constraints for index tracking

DOI10.1080/14697688.2012.691986zbMath1402.91689MaRDI QIDQ5247282

Peter Winker, Björn Fastrich, Sandra Paterlini

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.691986

zbMATH Keywords

portfolio optimizationfinancestatisticsindex tracking

Mathematics Subject Classification ID

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

91G10: Portfolio theory

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