Damian Brzyski

Wroclaw University of Technology

ul. Smoluchowskiego 25

Wroclaw, 50-372

Poland

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Sparse Index Clones via the Sorted L1-Norm

Number of pages: 30 Posted: 02 Jul 2019
EBS Universität für Wirtschaft und Recht, Wroclaw University of Technology, University of Wroclaw and University of Trento - Department of Economics and Management
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Abstract:

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Index Tracking, Hedge Fund Clones, Regularization, SLOPE