Mixed-integer programming approaches for index tracking and enhanced indexation

DOI10.1016/j.ejor.2008.03.015zbMath1159.91464OpenAlexW2003380963MaRDI QIDQ2378489

Publication date: 8 January 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2008.03.015

zbMATH Keywords

index tracking enhanced indexation passive fund management

Mathematics Subject Classification ID

Economic time series analysis (91B84) Mixed integer programming (90C11) Statistical methods; economic indices and measures (91B82)

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