High-dimensional sparse index tracking based on a multi-step convex optimization approach
Fangquan Shi, Lianjie Shu, Yiling Luo and Xiaoming Huo
| Year of publication: |
2023
|
|---|---|
| Authors: | Shi, Fangquan ; Shu, Lianjie ; Luo, Yiling ; Huo, Xiaoming |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 9, p. 1361-1372
|
| Subject: | Cardinality | Finance | Index tracking | LASSO | Sparsity | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Aktienindex | Stock index | Index | Index number |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2236158 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014339936