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Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints
Scozzari, Andrea; Tardella, Fabio; Paterlini, Sandra; … - Dipartimento di Economia "Marco Biagi", Università … - 2012
Index tracking aims at determining an optimal portfolio that replicates the performance of an index or benchmark by investing in a smaller number of constituents or assets. The tracking portfolio should be cheap to maintain and update, i.e., invest in a smaller number of constituents than the...
Persistent link: https://www.econbiz.de/10010584054
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Exact and heuristic approaches for the index tracking problem with UCITS constraints
Scozzari, Andrea; Tardella, Fabio; Paterlini, Sandra; … - Dipartimento di Economia "Marco Biagi", Università … - 2012
Index tracking aims at determining an optimal portfolio that replicates the performance of an index or benchmark by investing in a smaller number of constituents or assets. The tracking portfolio should be cheap to maintain and update, i.e., invest in a smaller number of constituents than the...
Persistent link: https://www.econbiz.de/10010551103
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Expanded model of the project portfolio selection problem with divisibility, time profile factors and cardinality constraints
Li, Xingmei; Fang, Shu-Cherng; Tian, Ye; Guo, Xiaoling - In: Journal of the Operational Research Society : OR 66 (2015) 7, pp. 1132-1139
Persistent link: https://www.econbiz.de/10011403707
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An alternating method for cardinality-constrained optimization : a computational study for the best subset selection and sparse portfolio problems
Moreira Costa, Carina; Kreber, Dennis; Schmidt, Martin - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 2968-2988
Persistent link: https://www.econbiz.de/10014326330