Cardinality versus q-Norm Constraints for Index Tracking

Bjoern Fastrich (), Sandra Paterlini and Peter Winker

Center for Economic Research (RECent) from University of Modena and Reggio E., Dept. of Economics "Marco Biagi"

Abstract: Index tracking aims at replicating a given benchmark with a smaller number of its constituents. Different quantitative models can 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-norm; regularization methods; heuristic algorithms (search for similar items in EconPapers)
JEL-codes: C15 C61 G11 (search for similar items in EconPapers)
Pages: pages 21
Date: 2011-01
New Economics Papers: this item is included in nep-cmp
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Cardinality versus q -norm constraints for index tracking (2014)
Working Paper: Cardinality versus q-Norm Constraints for Index Tracking (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:mod:recent:056

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