Solving the index tracking problem: a continuous optimization approach

DOI10.1007/s10100-019-00633-0MaRDI QIDQ2673302

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

DCA; transaction costs; cardinality constraints; mixed integer linear program; DC program; index tracking problem

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C11: Mixed integer programming

90C26: Nonconvex programming, global optimization

90Bxx: Operations research and management science

Uses Software

• Gurobi