A hybrid optimization approach to index tracking
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Publication:1026552
DOI10.1007/s10479-008-0404-4zbMath1163.91421MaRDI QIDQ1026552
Alberto Suárez, Rubén Ruiz-Torrubiano
Publication date: 25 June 2009
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-008-0404-4
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Uses Software
Cites Work
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- Optimal Index Tracking Under Transaction Costs and Impulse Control
- Optimal hedging using cointegration
- Integrated simulation and optimization models for tracking international fixed income indices
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