A novel semi-static method for the index tracking problem

Chun-Chong Fu, Chuan-Hsiang Han, and Kun Wang

Year of publication:	2024
Authors:	Fu, Chun-Chong ; Han, Chuan-Hsiang ; Wang, Kun
Published in:	Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 3. - New Jersey : World Scientific, ISBN 978-981-12-6324-8. - 2024, p. 1991-2002
Subject:	Generalized singular value decomposition \| Constrained Kalman filter method \| Robust index tracking \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Aktienindex \| Stock index \| Zustandsraummodell \| State space model \| Mathematische Optimierung \| Mathematical programming \| Dekompositionsverfahren \| Decomposition method

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