Mean-risk optimization for index tracking
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Publication:3417657
DOI10.1524/stnd.2006.24.1.189zbMath1171.91342OpenAlexW2246688263MaRDI QIDQ3417657
Publication date: 30 January 2007
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1524/stnd.2006.24.1.189
Applications of statistics to actuarial sciences and financial mathematics (62P05) Multi-objective and goal programming (90C29) Optimal stochastic control (93E20)