A sparse enhanced indexation model with chance and cardinality constraints (Q683716): Difference between revisions

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+Q4782130
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+An evolutionary heuristic for the index tracking problem.
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+Computational Science – ICCS 2005
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+Robust tracking error portfolio selection with worst-case downside risk measures
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+Mixed-integer programming approaches for index tracking and enhanced indexation
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+Game Theoretical Approach for Reliable Enhanced Indexation
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+Kernel search: an application to the index tracking problem
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+Enhanced indexation based on second-order stochastic dominance
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+Exact Penalization, Level Function Method, and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints
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+Chance-Constrained Programming
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+Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
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+Chance Constrained Programming with Joint Constraints
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+Nonnormal deterministic equivalents and a transformation in stochastic mathematical programming
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+On distributionally robust chance-constrained linear programs
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+Distributionally robust joint chance constraints with second-order moment information
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+Safe Approximations for Distributionally Robust Joint Chance Constrained Program
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+An efficient optimization approach for a cardinality-constrained index tracking problem
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