A mixed 0--1 LP for index tracking problem with CVaR risk constraints (Q1761842): Difference between revisions

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+Coherent Measures of Risk
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+An evolutionary heuristic for the index tracking problem.
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+Mixed-integer programming approaches for index tracking and enhanced indexation
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+Differential evolution and combinatorial search for constrained index-tracking
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+Portfolio optimization with linear and fixed transaction costs
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+A hybrid optimization approach to index tracking
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