"Sparse Portfolios for High-Dimensional Financial Index Tracking."

Konstantinos Benidis, Yiyong Feng, Daniel P. Palomar (2018)

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DOI: 10.1109/TSP.2017.2762286

access: closed

type: Journal Article

metadata version: 2023-09-30

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Konstantinos Benidis, Yiyong Feng, Daniel P. Palomar:
Sparse Portfolios for High-Dimensional Financial Index Tracking. IEEE Trans. Signal Process. 66(1): 155-170 (2018)

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