Efficient sparse portfolios based on composite quantile regression for high-dimensional index tracking

DOI10.1080/00949655.2020.1731750OpenAlexW3008162807MaRDI QIDQ5107785

Ning Li

Publication date: 28 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2020.1731750

zbMATH Keywords

composite quantile regressionsparse portfoliohigh-dimensional index tracking

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Parametric inference under constraints (62F30) Robustness and adaptive procedures (parametric inference) (62F35)

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