"Algorithms for l1-norm minimisation of index tracking ..."

Sergei P. Sidorov, Alexey Faizliev, Andrew A. Khomchenko (2017)

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DOI: 10.1504/IJMOR.2017.10008667

access: closed

type: Journal Article

metadata version: 2020-04-16

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Sergei P. Sidorov, Alexey Faizliev, Andrew A. Khomchenko:
Algorithms for l₁-norm minimisation of index tracking error and their performance. Int. J. Math. Oper. Res. 11(4): 497-519 (2017)

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