Group sparse enhanced indexation model with adaptive beta value

DOI10.1080/14697688.2022.2092542zbMath1500.91128OpenAlexW4285993066MaRDI QIDQ5041670

Jieao Ma, Haibing Lu, Feng-Min Xu

Publication date: 14 October 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2092542

zbMATH Keywords

enhanced indexationgroup sparsedata-driven learningbeta value

Mathematics Subject Classification ID

Portfolio theory (91G10)

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