High-dimensional sparse index tracking based on a multi-step convex optimization approach

DOI10.1080/14697688.2023.2236158zbMath1522.91251OpenAlexW4385478848MaRDI QIDQ6053116

Unnamed Author, Lianjie Shu, Xiaoming Huo, Fangquan Shi

Publication date: 25 September 2023

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

Full work available at URL: https://doi.org/10.1080/14697688.2023.2236158

zbMATH Keywords

financecardinalitysparsityLASSOindex tracking

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Convex programming (90C25) Financial markets (91G15)

Cites Work

• Unnamed Item
• Unnamed Item
• Nearly unbiased variable selection under minimax concave penalty
• The Adaptive Lasso and Its Oracle Properties
• Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
• Kernel search: an application to the index tracking problem
• Statistics for high-dimensional data. Methods, theory and applications.
• Enhancing sparsity by reweighted \(\ell _{1}\) minimization
• Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
• One-step sparse estimates in nonconcave penalized likelihood models
• Discussion: One-step sparse estimates in nonconcave penalized likelihood models
• When do stepwise algorithms meet subset selection criteria?
• A hybrid optimization approach to index tracking
• Nonnegative-Lasso and application in index tracking
• A two-stage approach to the UCITS-constrained index-tracking problem
• Differential evolution and combinatorial search for constrained index-tracking
• Constructing optimal sparse portfolios using regularization methods
• Exact and heuristic approaches for the index tracking problem with UCITS constraints
• Nonnegative elastic net and application in index tracking
• Pathwise coordinate optimization
• Portfolio optimization with linear and fixed transaction costs
• Complexity of penalized likelihood estimation
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• A new approach to variable selection in least squares problems
• Sparse Portfolios for High-Dimensional Financial Index Tracking
• Sparse index clones via the sorted ℓ₁-Norm
• Adaptive Bayesian SLOPE: Model Selection With Incomplete Data
• Cardinality versusq-norm constraints for index tracking

This page was built for publication: High-dimensional sparse index tracking based on a multi-step convex optimization approach