High-dimensional sparse index tracking based on a multi-step convex optimization approach
Year of publication: |
2023
|
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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 |
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