92 citations · 101 across the 4 of their papers we have counts for
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math.OC2015★ 8 cited
Sparse Index Tracking Based On Model And Algorithm
Fengmin Xu, Zongben Xu, Honggang Xue
Recently, regularization have been attracted extensive attention and successfully applied in mean-variance portfolio selection for promoting out-of-sample properties and decr…
math.OC2015★ 1 cited
An Efficient Optimization Approach for a Cardinality-Constrained Index Tracking Problem
Fengmin Xu, Zhaosong Lu, Zongben Xu
In the practical business environment, portfolio managers often face business-driven requirements that limit the number of constituents in their tracking portfolio. A natural index…