Differential evolution and combinatorial search for constrained index-tracking

DOI10.1007/s10479-009-0552-1zbMath1183.91167MaRDI QIDQ2267300

Thiemo Krink, Sandra Paterlini, Stefan Mittnik

Publication date: 1 March 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://155.185.68.2/CefinPaper/CEFIN-WP16.pdf

zbMATH Keywords

differential evolution; combinatorial search; index-tracking; passive asset management

Mathematics Subject Classification ID

90C59: Approximation methods and heuristics in mathematical programming

91G10: Portfolio theory

91G99: Actuarial science and mathematical finance

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Cites Work

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