Cardinality versus q-Norm Constraints for Index Tracking

Bjöern Fastrich (), Sandra Paterlini and Peter Winker

Department of Economics from University of Modena and Reggio E., Faculty of Economics "Marco Biagi"

Abstract: Index tracking aims at replicating a given benchmark with a smaller number of its constituents. Different quantitative models cam be set up to determine the optimal index replicating portfolio.In this paper, we propose an alternative based on imposing a constraint on the q-norm, 0

Keywords: Index tracking; Cardinality constraint; q-Norms; regularization methods; Heuristicalgorithms (search for similar items in EconPapers)
JEL-codes: C15 C61 G11 (search for similar items in EconPapers)
Pages: pages 21
Date: 2011-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.dep.unimore.it/materiali_discussione/0642.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.dep.unimore.it:80 (No such host is known. )

Related works:
Journal Article: Cardinality versus q -norm constraints for index tracking (2014)
Working Paper: Cardinality versus q-Norm Constraints for Index Tracking (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mod:depeco:0642

Access Statistics for this paper

More papers in Department of Economics from University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Contact information at EDIRC.
Bibliographic data for series maintained by Sara Colombini ().