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Journal of the Operational Research Society Volume 70, 2019 - Issue 3
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Original Articles

A sparse enhanced indexation model with norm and its alternating quadratic penalty method

Zhihua ZhaoSchool of Economics and Finance, Xi’an Jiaotong University, Xi’an, China.View further author information
,
Fengmin XuSchool of Economics and Finance, Xi’an Jiaotong University, Xi’an, China.View further author information
,
Meihua WangSchool of Economics and Management, Xidian University, Xi’an, China.Correspondence [email protected]
View further author information
&
Cheng-yi ZhangDepartment of Mathematics and Mechanics of School of Science, Xi’an Polytechnic University, Xi’an, China.View further author information
Pages 433-445 | Received 06 Feb 2015, Accepted 20 Feb 2018, Published online: 21 Mar 2018

Citations (9)

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Read on this site (3)

Fengmin Xu, Jieao Ma & Haibing Lu. (2022) Group sparse enhanced indexation model with adaptive beta value. Quantitative Finance 22:10, pages 1905-1926.
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Zhihua Zhao, Hao Wang, Xiangyu Yang & Fengmin Xu. (2021) CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints. Applied Economics Letters 28:3, pages 201-207.
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Dimitris Andriosopoulos, Michalis Doumpos, Panos M. Pardalos & Constantin Zopounidis. (2019) Computational approaches and data analytics in financial services: A literature review. Journal of the Operational Research Society 70:10, pages 1581-1599.
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Articles from other publishers (6)

Wenling Liu & Kui Jing. (2023) ESG portfolio for TDFs with time‐varying higher moments and cardinality constraint. International Transactions in Operational Research.
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Ruchika Sehgal & Aparna Mehra. (2023) Quantile Regression Based Enhanced Indexing with Portfolio Rebalancing. Journal of Quantitative Economics 21:3, pages 721-742.
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Xiwen Sheng, Beibei Zhang, Yonghui Cheng, Dongqing Luan & Ying Ji. (2023) Distributionally robust sparse portfolio selection. Mathematical Foundations of Computing 0:0, pages 0-0.
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Ripeng Huang, Shaojian Qu, Xiaoguang Yang, Fengmin Xu, Zeshui Xu & Wei Zhou. (2021) Sparse portfolio selection with uncertain probability distribution. Applied Intelligence 51:10, pages 6665-6684.
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Ulkem Basdas & M. Fevzi Esen. 2021. Handbook of Research on Engineering, Business, and Healthcare Applications of Data Science and Analytics. Handbook of Research on Engineering, Business, and Healthcare Applications of Data Science and Analytics 181 202 .
Massimiliano Kaucic, Fabrizio Barbini & Federico Julian Camerota Verdù. (2019) Polynomial goal programming and particle swarm optimization for enhanced indexation. Soft Computing 24:12, pages 8535-8551.
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