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Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios

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2013Solving norm constrained portfolio optimization via coordinate-wise descent algorithms59 cited
2018A comparison of multitask and single task learning with artificial neural networks for yield curve forecasting53 cited

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2018

Optimization Methods for Financial Index Tracking: From Theory to Practice

42 cited

2020High-dimensional index tracking based on the adaptive elastic net39 cited

2015Sparse Weighted-Norm Minimum Variance Portfolios38 cited

2024The rise of passive investing: a systematic literature review applying PRISMA framework20 cited