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Sparse index clones via the sorted ℓ<sub>1</sub>-Norm - MaRDI portal

Sparse index clones via the sorted ℓ<sub>1</sub>-Norm (Q5068095)

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scientific article; zbMATH DE number 7503267
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English
Sparse index clones via the sorted ℓ<sub>1</sub>-Norm
scientific article; zbMATH DE number 7503267

    Statements

    title
    Sparse index clones via the sorted ℓ<sub>1</sub>-Norm (English)
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    author
    Philipp J. Kremer
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    Damian Brzyski
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    Małgorzata Bogdan
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    Sandra Paterlini
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    publication date
    5 April 2022
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    zbMATH Keywords
    index tracking
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    hedge fund clones
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    regularization
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    SLOPE
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    cites work
    Q4782130
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    Q4864293
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    Identifiers

    zbMATH DE Number
    7503267
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    OpenAlex ID
    W3200535054
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