Robust enhanced indexation optimization with sparse industry layout constraint

Zhihua Allen-Zhao, Fengmin Xu, Yu-Hong Dai, Sanyang Liu

Abstract: Highlights•A WCVaR model of enhanced indexation is proposed with weighted ℓ∞,1-norm constraint.•An accelerated algorithm is proposed with global convergence rate of O(1/k2).•A FPI method for the projection onto -norm ball terminates in finite steps.•A favorable out-of-sample performance on actual data sets is obtained.