Diversity And Sparsity: A New Perspective On Index Tracking

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Diversity And Sparsity: A New Perspective On Index Tracking


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Diversity And Sparsity: A New Perspective On Index Tracking

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We address the problem of partial index tracking, replicating a benchmark index using a small number of assets. Accurate tracking with a sparse portfolio is extensively studied as a classic finance problem. However in practice, a tracking portfolio must a
We address the problem of partial index tracking, replicating a benchmark index using a small number of assets. Accurate tracking with a sparse portfolio is extensively studied as a classic finance problem. However in practice, a tracking portfolio must a