Pub Date : 2024-04-16DOI: 10.1109/OJSP.2024.3389810
Eisuke Yamagata;Shunsuke Ono
Sparse index tracking is a prominent passive portfolio management strategy that constructs a sparse portfolio to track a financial index. A sparse portfolio is preferable to a full portfolio in terms of reducing transaction costs and avoiding illiquid assets. To achieve portfolio sparsity, conventional studies have utilized $ell _{p}$