A hybrid optimization approach to index tracking
type: Item
instance of: scholarly article
title: A hybrid optimization approach to index tracking
zbMATH Open document ID: 1163.91421
author: Rubén Ruiz-Torrubiano
author: Alberto Suárez
published in: Annals of Operations Research
publication date: 2009-06-25T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 68P10
Mathematics Subject Classification ID: 90C20
zbMATH DE Number: 5570696
zbMATH Keywords: data mining
zbMATH Keywords: financial modeling
zbMATH Keywords: asset management
describes a project that uses: OR-Library
MaRDI profile type: Publication
full work available at URL: s10479-008-0404-4
OpenAlex ID: W1988871589
cites work: Optimal hedging using cointegration
cites work: An evolutionary heuristic for the index tracking problem.
cites work: Optimal Index Tracking Under Transaction Costs and Impulse Control
cites work: Integrated simulation and optimization models for tracking international fixed income indices
cites work: Q4782130
cites work: Q4079017
cites work: Portfolio optimization with linear and fixed transaction costs
cites work: Q4001511
DOI: 10.1007/S10479-008-0404-4
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description: scientific article; zbMATH DE number 5570696