A two-stage approach to the UCITS-constrained index-tracking problem
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Publication:1634070
DOI10.1016/j.cor.2018.10.002zbMath1458.91199OpenAlexW2897791394WikidataQ129104855 ScholiaQ129104855MaRDI QIDQ1634070
Publication date: 17 December 2018
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://boris.unibe.ch/120471/
Mixed integer programming (90C11) Quadratic programming (90C20) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)
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Uses Software
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