Fast Methods for the Index Tracking Problem

DOI10.1007/978-3-319-89920-6_38zbMath1397.90411OpenAlexW2804827384MaRDI QIDQ4685761

Dag Haugland

Publication date: 9 October 2018

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-89920-6_38

zbMATH Keywords

experimentheuristicindex trackingrunning time analysis

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Approximation methods and heuristics in mathematical programming (90C59) Financial applications of other theories (91G80) Portfolio theory (91G10)

Cites Work

• Kernel search: an application to the index tracking problem
• Minimizing the tracking error of cardinality constrained portfolios
• Mixed-integer programming approaches for index tracking and enhanced indexation

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