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Replicating Portfolios: \(\mathscr {L}^1\) Versus \(\mathscr {L}^2\) Optimization

Jan Natolski, Ralf Werner. Replicating Portfolios: \(\mathscr {L}^1\) Versus \(\mathscr {L}^2\) Optimization. In Karl F. Doerner, Ivana Ljubic, Georg Pflug, Gernot Tragler, editors, Operations Research Proceedings 2015, Selected Papers of the International Conference of the German, Austrian and Swiss Operations Research Societies (GOR, ÖGOR, SVOR/ASRO), University of Vienna, Austria, September 1-4, 2015. Operations Research Proceedings, pages 533-538, Springer, 2015. [doi]

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