Tracking hedge funds returns using sparse clones

DOI10.1007/s10479-016-2371-5zbMath1404.62106OpenAlexW2554498773MaRDI QIDQ1621921

Margherita Giuzio, Kay Eichhorn-Schott, Vincent Weber, Sandra Paterlini

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2371-5

zbMATH Keywords

Lassoalternative betashedge fund replicationlog-penalty regressionstyle analysis

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (3)

Sparse index clones via the sorted ℓ₁-Norm ⋮ Genetic algorithm versus classical methods in sparse index tracking ⋮ Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model

Uses Software

• PMTK

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
• Estimating the dimension of a model
• Constructing optimal sparse portfolios using regularization methods
• 60 years of portfolio optimization: practical challenges and current trends
• Sparse and stable Markowitz portfolios
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Recovering Sparse Signals With a Certain Family of Nonconvex Penalties and DC Programming
• 10.1162/153244303322753751
• Cardinality versusq-norm constraints for index tracking

This page was built for publication: Tracking hedge funds returns using sparse clones