A note on the exact replication of a stock index with a multiplier rounding method

DOI10.1007/S002910050100MaRDI QIDQ1808730zbMATH OpenOpenAlexFDO

Authors Gregor Dorfleitner

Publication date 25 July 2000

Published in OR Spektrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s002910050100

zbMATH Keywords

portfolio selectionmultiplier rounding methodsfull replication of stock indices

Mathematics Subject Classification ID

Operations research and management science (90B99)

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• An evolutionary heuristic for the index tracking problem.
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