High-dimensional index tracking based on the adaptive elastic net

DOI10.1080/14697688.2020.1737328zbMath1454.91235OpenAlexW3020311447MaRDI QIDQ5139249

Lianjie Shu, Fangquan Shi, Guo-Liang Tian

Publication date: 7 December 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1737328

zbMATH Keywords

cardinalitysparsityLassoindex tracking

Mathematics Subject Classification ID

Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17) Portfolio theory (91G10)

Cites Work

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