A sparse enhanced indexation model with l 1/2 norm and its alternating quadratic penalty method
Zhihua Zhao, Fengmin Xu, Meihua Wang & Cheng-yi Zhang
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhao, Zhihua ; Xu, Fengmin ; Wang, Meihua ; Zhang, Cheng-yi |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 70.2019, 3, p. 433-445
|
| Subject: | Finance | enhanced indexation | sparse regularisation | out-of-sample performance |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2018.1447245 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012212406