High-dimensional index tracking based on the adaptive...

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High-dimensional index tracking based on the adaptive elastic net

Shu, Lianjie, Shi, Fangquan, Tian, Guoliang
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Journal:
Quantitative Finance
DOI:
10.1080/14697688.2020.1737328
Date:
April, 2020
File:
PDF, 1.11 MB
2020
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