Exact and heuristic approaches for the index tracking problem with UCITS constraints
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Publication:2393352
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Cited in
(12)- A two-stage approach to the UCITS-constrained index-tracking problem
- Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- Liquidity-constrained index tracking optimization models
- High-dimensional index tracking based on the adaptive elastic net
- An enhanced GRASP approach for the index tracking problem
- Sparse index tracking using sequential Monte Carlo
- A linear risk-return model for enhanced indexation in portfolio optimization
- Penalized enhanced portfolio replication with asymmetric deviation measures
- An optimisation approach to constructing an exchange-traded fund
- Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
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