Linear programming models based on omega ratio for the enhanced index tracking problem

DOI10.1016/J.EJOR.2015.11.037zbMath1346.91208OpenAlexW1831243904MaRDI QIDQ322803

G. Guastaroba, Renata Mansini, Włodzimierz Ogryczak, Maria Grazia Speranza

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/67097/1/MPRA_paper_67097.pdf

zbMATH Keywords

linear programmingportfolio optimizationmixed integer linear programmingenhanced index trackingomega ratio

Mathematics Subject Classification ID

Mixed integer programming (90C11) Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

Related Items (26)

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