Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm (Q6059885)
From MaRDI portal
scientific article; zbMATH DE number 7759818
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm |
scientific article; zbMATH DE number 7759818 |
Statements
Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm (English)
0 references
2 November 2023
0 references
enhanced index tracking
0 references
omega-ratio
0 references
deviation of portfolio value from index value
0 references
sum-of-ratio
0 references
modified Newton-based algorithm
0 references
0 references
0 references
