Risk-allocation-based index tracking (Q6164597)

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scientific article; zbMATH DE number 7706727
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Risk-allocation-based index tracking
scientific article; zbMATH DE number 7706727

    Statements

    Risk-allocation-based index tracking (English)
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    4 July 2023
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    index tracking
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    risk contributions
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    cardinality-constrained portfolio optimization
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    non-convex MIP
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    heuristics
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