The curvature of the tracking frontier: a new criterion for the partial index tracking problem

DOI10.1016/j.mcm.2011.02.015zbMath1235.91157OpenAlexW1993906058MaRDI QIDQ409795

Ismael Moya, Francisco Guijarro, Fernando García

Publication date: 15 April 2012

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10251/38058

zbMATH Keywords

portfolio selectionindex trackingfrontier curvaturetracking error variance

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

• A hybrid optimization approach to index tracking
• A theorem connecting utility function optimization and compromise programming
• Bicriteria Optimization Problem of Designing an Index Fund