Linear programming models based on omega ratio for the enhanced index tracking problem
From MaRDI portal
Publication:322803
DOI10.1016/j.ejor.2015.11.037zbMath1346.91208OpenAlexW1831243904MaRDI QIDQ322803
G. Guastaroba, Renata Mansini, Włodzimierz Ogryczak, Maria Grazia Speranza
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/67097/1/MPRA_paper_67097.pdf
linear programmingportfolio optimizationmixed integer linear programmingenhanced index trackingomega ratio
Mixed integer programming (90C11) Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)
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