DOI10.1016/j.ejor.2017.06.055zbMath1380.91127MaRDI QIDQ1694362
Peng Zhang
Publication date: 1 February 2018 Published in: European Journal of Operational Research (Search for Journal in Brave) Full work available at URL: https://doi.org/10.1016/j.ejor.2017.06.055
zbMATH Keywords
finance; mixed-integer linear programming; index tracking; rebalancing
Mathematics Subject Classification ID
90C11: Mixed integer programming
90C05: Linear programming
91G10: Portfolio theory
Uses Software