Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios

Akiko Takeda, Mahesan Niranjan, Jun-ya Gotoh, Yoshinobu Kawahara. Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios. Comput. Manag. Science, 10(1):21-49, 2013. [doi]

Abstract

Abstract is missing.