Solving the index tracking problem: a continuous optimization approach

DOI10.1007/s10100-019-00633-0OpenAlexW2961761801WikidataQ127466995 ScholiaQ127466995MaRDI QIDQ2673302

Mahdi Moeini

Publication date: 9 June 2022

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-019-00633-0

zbMATH Keywords

DCAtransaction costscardinality constraintsmixed integer linear programDC programindex tracking problem

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Mixed integer programming (90C11) Nonconvex programming, global optimization (90C26) Operations research and management science (90Bxx)

Uses Software

• Gurobi

Cites Work

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