Partial Index Tracking: A Meta-Learning Approach
Partial Index Tracking: A Meta-Learning Approach
Partial index tracking aims to cost effectively replicate the performance of a benchmark index by using a small number of assets. It is usually formulated as a regression problem, but solving it subject to real-world constraints is non-trivial. For example, the common L1 regularised model for sparse regression (i.e., LASSO) …