Robust portfolio selection for index tracking

DOI10.1016/j.cor.2010.08.019zbMath1251.91053OpenAlexW2078542140MaRDI QIDQ1762050

Roy H. Kwon, Chen Chen

Publication date: 15 November 2012

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2010.08.019

zbMATH Keywords

robust optimizationportfolio selectionindex trackingpassive fund management

Mathematics Subject Classification ID

Portfolio theory (91G10)

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