Lasso-based index tracking and statistical arbitrage long-short strategies
Leonardo Riegel Sant'Anna, João Frois Caldeira, Tiago Pascoal Filomena
| Year of publication: |
2020
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|---|---|
| Authors: | Sant'Anna, Leonardo Riegel ; Caldeira, João F. ; Filomena, Tiago Pascoal |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 51.2020, p. 1-24
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| Subject: | Portfolio selection | Lasso | Index tracking | Long-short | Statistical arbitrage | Portfolio-Management | Arbitrage | Aktienindex | Stock index | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.101055 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012659433