Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization
Margherita Giuzio, Davide Ferrari, Sandra Paterlini
| Year of publication: |
2016
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|---|---|
| Authors: | Giuzio, Margherita ; Ferrari, Davide ; Paterlini, Sandra |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 250.2016, 1 (1.4.), p. 251-261
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| Subject: | Investment analysis | Penalized least squares | q-entropy | Sparsity | Index tracking | Portfolio-Management | Portfolio selection | Kleinste-Quadrate-Methode | Least squares method | Aktienindex | Stock index | Finanzanalyse | Financial analysis | Schätztheorie | Estimation theory | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.08.056 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011441400