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In the context of index tracking, the tracking error measures the difference between the return an investor receives and that of the benchmark he was attempting to imitate. In this… Click to show full abstract
In the context of index tracking, the tracking error measures the difference between the return an investor receives and that of the benchmark he was attempting to imitate. In this paper, we use the weighted $\ell_{2}$ and $\ell_{p}$ $(0 26 ] for real stock data set S&P500 in terms of in-sample and out-of-sample errors.
Keywords:
robust sparse;
index;
portfolio model;
sparse portfolio;
model index;
index tracking
Journal Title: Journal of Industrial and Management Optimization
Year Published: 2018
Link to full text (if available)
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Journal Title: Journal of Industrial and Management Optimization
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!