High-dimensional index tracking based on the adaptive elastic net
Year of publication: |
2020
|
---|---|
Authors: | Shu, Lianjie ; Shi, Fangquan ; Tian, Guoliang |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 9, p. 1513-1530
|
Subject: | Cardinality | Index tracking | Lasso | Sparsity | Theorie | Theory | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling |
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