Solving the index tracking problem based on a convex reformulation for cointegration
Leonardo Riegel Sant'Anna, Alan Delgado de Oliveira, Tiago Pascoal Filomena, João Frois Caldeira
| Year of publication: |
2020
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|---|---|
| Authors: | Sant'Anna, Leonardo Riegel ; Oliveira, Alan Delgado de ; Filomena, Tiago Pascoal ; Caldeira, João F. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 37.2020, p. 1-6
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| Subject: | Cointegration | Index tracking | Mixed-integer non-linear optimization | Kointegration | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.101356 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012484879