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Applied Economics Letters Volume 28, 2021 - Issue 3
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Research Article

CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints

Zhihua Zhaoa School of Economics and Finance, Xi’an Jiaotong University, Xi’an, ChinaView further author information
,
Hao Wangb School of Information Science and Technology, ShanghaiTech University, Shanghai, ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-8821-7260View further author information
ORCID Icon,
Xiangyu Yangb School of Information Science and Technology, ShanghaiTech University, Shanghai, ChinaView further author information
&
Fengmin Xua School of Economics and Finance, Xi’an Jiaotong University, Xi’an, ChinaView further author information
Pages 201-207 | Published online: 20 Mar 2020

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