An efficient optimization approach for a cardinality-constrained index tracking problem
From MaRDI portal
Publication:2815504
DOI10.1080/10556788.2015.1062891zbMath1382.90117arXiv1506.05866OpenAlexW1821374938MaRDI QIDQ2815504
Zhaosong Lu, Zong Ben Xu, Feng-Min Xu
Publication date: 29 June 2016
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.05866
Applications of mathematical programming (90C90) Methods of successive quadratic programming type (90C55) Portfolio theory (91G10)
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