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...
- 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)