Cardinality versus q-Norm Constraints for Index Tracking
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
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CEPR Discussion Papers
6474, C.E.P.R. Discussion Papers.
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