A fuzzy index tracking portfolio selection model

DOI10.1007/11428862_76MaRDI QIDQ5709726zbMATH OpenOpenAlexFDO

Authors Yong Fang, Shouyang Wang

Publication date 30 November 2005

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/b136575

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(4)

• Mixed-integer programming approaches for index tracking and enhanced indexation
• Exact and heuristic approaches for the index tracking problem with UCITS constraints
• An index tracking model with stratified sampling and optimal allocation
• A sparse enhanced indexation model with chance and cardinality constraints

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