Sparse Index Tracking Portfolio with Sector Neutrality

Sparse Index Tracking Portfolio with Sector Neutrality

As a popular passive investment strategy, a sparse index tracking strategy has advantages over a full index replication strategy because of higher liquidity and lower transaction costs. Sparsity and nonnegativity constraints are usually assumed in the construction of portfolios in sparse index track...

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Bibliographic Details
Main Authors: Yuezhang Che, Shuyan Chen, Xin Liu
Format: Article
Language:English
Published: MDPI AG 2022-07-01
Series:Mathematics
Subjects:
constrained variable selection
high-dimensional variable selection
sparse index tracking
sector neutrality
TLP
ADMM algorithm
Online Access:https://www.mdpi.com/2227-7390/10/15/2645

Internet

https://www.mdpi.com/2227-7390/10/15/2645

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