Robust enhanced indexation optimization with sparse industry layout constraint

Zhihua Allen-Zhao, Fengmin Xu, Yu-Hong Dai, Sanyang Liu

Year of publication:	2024
Authors:	Allen-Zhao, Zhihua ; Xu, Fengmin ; Dai, Yu-Hong ; Liu, Sanyang
Published in:	Computers & operations research : an international journal. - Amsterdam [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 1499736-8. - Vol. 161.2024, Art.-No. 106420, p. 1-12
Subject:	Alternating minimization algorithm \| Enhanced indexation \| Group-sparse optimization \| Out-of-sample analysis \| Worst-case CVaR \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming \| Algorithmus \| Algorithm \| Portfolio-Management \| Portfolio selection \| Index \| Index number

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