Sparse Index Tracking With K-Sparsity or ε-Deviation Constraint via ℓ₀-Norm Minimization.
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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