Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints

DOI10.1142/s0219691323500558zbMath1542.91363MaRDI QIDQ6591682

Ning Li, Guanghui Zhu

Publication date: 22 August 2024

Published in: International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

zbMATH Keywords

index trackingcapital allocationstock selectionrobust portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10)

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