Constrained Portfolio Analysis in High Dimensions: Tracking Error and Weight Constraints

By Mehmet Caner, Qingliang Fan, Yingying Li

Published 2024-02-28

Everscope rating

1757.5

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Residual-based nodewise regression. Problem types: Portfolio Optimization, Risk Management.

arXiv:2402.17523 · Paper rankings

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