Linear programming models based on omega ratio for the enhanced index tracking problem
G. Guastaroba, R. Mansini, W. Ogryczak, M.G. Speranza
| Year of publication: |
2016
|
|---|---|
| Authors: | Guastaroba, Gianfranco ; Mansini, Renata ; Ogryczak, Włodzimierz ; Speranza, Maria Grazia |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 251.2016, 3 (16.6.), p. 938-956
|
| Subject: | Enhanced index tracking | Omega ratio | Portfolio optimization | Linear programming | Mixed integer linear programming | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.11.037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011449041