Sparse Index Tracking With K-Sparsity or ε-Deviation Constraint via ℓ₀-Norm Minimization.
Sign Up to like & getrecommendations! Published in 2022 at "IEEE transactions on neural networks and learning systems"
DOI: 10.1109/tnnls.2022.3171819
Abstract: Sparse index tracking, as one of the passive investment strategies, is to track a benchmark financial index via constructing a portfolio with a few assets in a market index. It can be considered as parameter… read more here.
Keywords: index; selected assets; index tracking; number ... See more keywords
Robust and sparse portfolio model for index tracking
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Industrial and Management Optimization"
DOI: 10.3934/jimo.2018082
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… read more here.
Keywords: robust sparse; index; portfolio model; sparse portfolio ... See more keywords