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]

Authors

Akiko Takeda

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Mahesan Niranjan

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Jun-ya Gotoh

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Yoshinobu Kawahara

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