Lasso-based index tracking and statistical arbitrage long-short strategies

Leonardo Riegel Sant’Anna1, João Frois Caldeira2, Tiago Pascoal Filomena1
1School of Business, Federal University of Rio Grande do Sul, 855 Washington Luis Street, Porto Alegre, RS 90010-460, Brazil
2Department of Economics, Federal University of Santa Catarin, Campus Universitario Reitor João David Ferreira Lima, Florianopolis, SC 88040-900, Brazil

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