Algorithms for \(l_{1}\)-norm minimisation of index tracking error and their performance

DOI10.1504/IJMOR.2017.087743zbMath1452.91292OpenAlexW4238951881MaRDI QIDQ2204337

Andrew A. Khomchenko, Alexey R. Faizliev, Sergei P. Sidorov

Publication date: 15 October 2020

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmor.2017.087743

zbMATH Keywords

greedy algorithmsindex trackingportfolio optimisationdifferential evolution algorithms

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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