Sparse index clones via the sorted ℓ1-Norm
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Publication:5068095
DOI10.1080/14697688.2021.1962539zbMath1484.91430OpenAlexW3200535054MaRDI QIDQ5068095
Sandra Paterlini, Małgorzata Bogdan, Damian Brzyski, Philipp J. Kremer
Publication date: 5 April 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.1962539
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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