1 code implementation • 5 Aug 2023 • Xianhua Peng, Chenyin Gong, Xue Dong He
We propose the first discrete-time infinite-horizon dynamic formulation of the financial index tracking problem under both return-based tracking error and value-based tracking error.
no code implementations • 6 Nov 2016 • Steven Kou, Xianhua Peng, Xingbo Xu
Similar to the EM algorithm, the EM-C algorithm has the monotonicity of performance improvement in each iteration, leading to good convergence properties.