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Risk-allocation-based index tracking - MaRDI portal

Risk-allocation-based index tracking (Q6164597)

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scientific article; zbMATH DE number 7706727
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English
Risk-allocation-based index tracking
scientific article; zbMATH DE number 7706727

    Statements

    title
    Risk-allocation-based index tracking (English)
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    author
    Hassan T. Anis
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    Giorgio Costa
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    Roy H. Kwon
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    publication date
    4 July 2023
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    zbMATH Keywords
    index tracking
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    risk contributions
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    cardinality-constrained portfolio optimization
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    non-convex MIP
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    heuristics
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    cites work
    Q2847378
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    Q4864293
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    Identifiers

    zbMATH DE Number
    7706727
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    OpenAlex ID
    W4324344186
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