68- #1168 SPARSE PORTFOLIOS FOR HIGHDIMENSIONAL FINANCIAL INDEX TRACKING WITH LOW-RANK MATRIX CONSTRAINT FOR STOCKS

Selection of the securities for investment portfoliodesign is one of the most important optimizationproblems of the last century. For this, numerousstrategies and mathematical models have beenproposed. For instance, the passive investmentstrategy performs the tracking of market indices with theinten...

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Autores:
Tipo de recurso:
Fecha de publicación:
2019
Institución:
Universidad Industrial de Santander
Repositorio:
Repositorio UIS
Idioma:
spa
OAI Identifier:
oai:noesis.uis.edu.co:20.500.14071/5497
Acceso en línea:
https://revistas.uis.edu.co/index.php/memoriasuis/article/view/10477
https://noesis.uis.edu.co/handle/20.500.14071/5497
Palabra clave:
Sparse Portfolio Optimization
Index Tracking
Low-Rank Approximation
Correlated Stocks
Rights
openAccess
License
Attribution-NonCommercial 4.0 International (CC BY-NC 4.0)