A constrained cluster-based approach for tracking the S&P 500 index
Dexiang Wu, Roy H. Kwon, Giorgio Costa
| Year of publication: |
November 2017
|
|---|---|
| Authors: | Wu, Dexiang ; Kwon, Roy H. ; Costa, Giorgio |
| Published in: |
International journal of production economics. - Amsterdam [u.a.] : Elsevier, ISSN 0925-5273, ZDB-ID 1092526-0. - Vol. 193.2017, p. 222-243
|
| Subject: | Index tracking | Portfolio optimization | Linear mixed integer programming | Lagrangian relaxation | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Aktienindex | Stock index | Ganzzahlige Optimierung | Integer programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijpe.2017.07.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011758344