Solving the index tracking problem: a continuous optimization approach

DOI10.1007/S10100-019-00633-0MaRDI QIDQ2673302zbMATH OpenOpenAlexWikidataFDO

Authors Mahdi Moeini

Publication date 9 June 2022

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10100-019-00633-0

zbMATH Keywords

cardinality constraintsDC programDCAindex tracking problemmixed integer linear programtransaction costs

Mathematics Subject Classification ID

Operations research and management science (90Bxx) Mixed integer programming (90C11) Nonconvex programming, global optimization (90C26) Applications of mathematical programming (90C90)

Cites work

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Cited in

(7)

• A hybrid optimization approach to index tracking
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Exact and heuristic approaches for the index tracking problem with UCITS constraints
• A hybrid approach for index tracking with practical constraints
• Linear programming models based on omega ratio for the enhanced index tracking problem
• scientific article; zbMATH DE number 1836443 (Why is no real title available?)
• Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm

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Uses Software

• Gurobi

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