Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization
Year of publication: |
2016
|
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Authors: | Giuzio, Margherita ; Ferrari, Davide ; Paterlini, Sandra |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 250.2016, 1 (1.4.), p. 251-261
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Subject: | Investment analysis | Penalized least squares | q-entropy | Sparsity | Index tracking | Portfolio-Management | Portfolio selection | Kleinste-Quadrate-Methode | Least squares method | Schätztheorie | Estimation theory | Finanzanalyse | Financial analysis |
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