norm constraint

Simultaneous Pursuit of Out-of-Sample Performance and Sparsity in Index Tracking Portfolios

  • Jun-ya Gotoh
  • Yoshinobu Kawahara
  • Mahesan Niranjan
  • Akiko Takeda
    • Categories Applications - OR and Management Sciences, Finance and Economics Tags , , , , ,

    Index tracking is a passive investment strategy in which an investor purchases a set of assets to mimic a market index. The tracking error, the difference between the performances of the index and the portfolio, may be minimized by buying all the assets contained in the index. However, this strategy results in a considerable amount … Read more

    On the Role of the Norm Constraint in Portfolio Selection

  • Jun-ya Gotoh
  • Akiko Takeda
    • Categories Finance and Economics Tags , , , , , , , ,

    Recently, several optimization approaches for portfolio selection have been proposed in order to alleviate the estimation error in the optimal portfolio. Among such are the norm-constrained variance minimization and the robust portfolio models. In this paper, we examine the role of the norm constraint in the portfolio optimization from several directions. First, it is shown … Read more