Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm (Q6059885)
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scientific article; zbMATH DE number 7759818
Language | Label | Description | Also known as |
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English | Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm |
scientific article; zbMATH DE number 7759818 |
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Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm (English)
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2 November 2023
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enhanced index tracking
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omega-ratio
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deviation of portfolio value from index value
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sum-of-ratio
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modified Newton-based algorithm
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