Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
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DOI: 10.1007/s10287-012-0158-y
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Cited by:
- Hongxin Zhao & Lingchen Kong & Hou-Duo Qi, 2021. "Optimal portfolio selections via $$\ell _{1, 2}$$ ℓ 1 , 2 -norm regularization," Computational Optimization and Applications, Springer, vol. 80(3), pages 853-881, December.
- Strub, O. & Baumann, P., 2018. "Optimal construction and rebalancing of index-tracking portfolios," European Journal of Operational Research, Elsevier, vol. 264(1), pages 370-387.
- Yen, Yu-Min & Yen, Tso-Jung, 2014. "Solving norm constrained portfolio optimization via coordinate-wise descent algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 737-759.
- Yu Zheng & Bowei Chen & Timothy M. Hospedales & Yongxin Yang, 2019. "Index Tracking with Cardinality Constraints: A Stochastic Neural Networks Approach," Papers 1911.05052, arXiv.org, revised Nov 2019.
- Margherita Giuzio & Kay Eichhorn-Schott & Sandra Paterlini & Vincent Weber, 2018. "Tracking hedge funds returns using sparse clones," Annals of Operations Research, Springer, vol. 266(1), pages 349-371, July.
- Gnägi, M. & Strub, O., 2020. "Tracking and outperforming large stock-market indices," Omega, Elsevier, vol. 90(C).
- Sven Husmann & Antoniya Shivarova & Rick Steinert, 2019. "Sparsity and Stability for Minimum-Variance Portfolios," Papers 1910.11840, arXiv.org.
- William W. Hager & Dzung T. Phan & Jiajie Zhu, 2016. "Projection algorithms for nonconvex minimization with application to sparse principal component analysis," Journal of Global Optimization, Springer, vol. 65(4), pages 657-676, August.
- Eisuke Yamagata & Shunsuke Ono, 2023. "Sparse Index Tracking: Simultaneous Asset Selection and Capital Allocation via $\ell_0$-Constrained Portfolio," Papers 2309.10152, arXiv.org, revised Mar 2024.
- Chungen Shen & Xiao Liu, 2021. "Solving nonnegative sparsity-constrained optimization via DC quadratic-piecewise-linear approximations," Journal of Global Optimization, Springer, vol. 81(4), pages 1019-1055, December.
- Zhiping Chen & Xinkai Zhuang & Jia Liu, 2019. "A Sustainability-Oriented Enhanced Indexation Model with Regime Switching and Cardinality Constraint," Sustainability, MDPI, vol. 11(15), pages 1-14, July.
- Yu Zheng & Timothy M. Hospedales & Yongxin Yang, 2018. "Diversity and Sparsity: A New Perspective on Index Tracking," Papers 1809.01989, arXiv.org, revised Feb 2020.
- Sven Husmann & Antoniya Shivarova & Rick Steinert, 2022. "Sparsity and stability for minimum-variance portfolios," Risk Management, Palgrave Macmillan, vol. 24(3), pages 214-235, September.
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Keywords
Portfolio optimization; Index tracking; Norm constraint; Regularization; Sparse portfolio; Greedy algorithm;All these keywords.
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