Risk-allocation-based index tracking
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Publication:6164597
DOI10.1016/j.cor.2023.106219OpenAlexW4324344186MaRDI QIDQ6164597
Roy H. Kwon, Hassan T. Anis, Giorgio Costa
Publication date: 4 July 2023
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2023.106219
heuristicsindex trackingrisk contributionscardinality-constrained portfolio optimizationnon-convex MIP
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