Risk-allocation-based index tracking
Hassan T. Anis, Giorgio Costa, Roy H. Kwon
| Year of publication: |
2023
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|---|---|
| Authors: | Anis, Hassan T. ; Costa, Giorgio ; Kwon, Roy H. |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 154.2023, p. 1-20
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| Subject: | Index tracking | Risk contributions | Cardinality-constrained portfolio optimization | Non-convex MIP | Heuristics | Portfolio-Management | Portfolio selection | Heuristik | Aktienindex | Stock index | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Index | Index number | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2023.106219 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014308262