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CVaR-LASSO Enhanced Index Replication (CLEIR): outperforming by minimizing downside risk |
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| Authors: | Brian Gendreau Mahendrarajah Nimalendran Xiaolong Zhong |
| Institution: | 1. Department of Finance, Insurance &2. Real Estate, Warrington College of Business Administration, University of Florida, Gainesville, FL, USA;3. Amazon |
| Abstract: | |
| Keywords: | Stochastic programming conditional value-at-risk LASSO enhanced indexation |