Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm

DOI10.1007/s12597-023-00658-9OpenAlexW4381594545MaRDI QIDQ6059885

F. Hooshmand, Z. Rasouli

Publication date: 2 November 2023

Published in: Opsearch (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12597-023-00658-9

zbMATH Keywords

enhanced index trackingsum-of-ratiodeviation of portfolio value from index valuemodified Newton-based algorithmomega-ratio

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Operations research and management science (90Bxx)

Cites Work

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• A linear risk-return model for enhanced indexation in portfolio optimization
• Optimization Methods in Finance
• Programming with linear fractional functionals
• Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure

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