Risk-allocation-based index tracking (Q6164597)
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scientific article; zbMATH DE number 7706727
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | 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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0.8729785
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0.8457769
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0.8440207
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0.8405108
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0.8359937
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