A two-stage stochastic mixed-integer programming approach to the index tracking problem
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Publication:374678
DOI10.1007/s11081-009-9095-1zbMath1273.91430OpenAlexW2027515466MaRDI QIDQ374678
Roy H. Kwon, Stephen J. Stoyan
Publication date: 24 October 2013
Published in: Optimization and Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11081-009-9095-1
Applications of mathematical programming (90C90) Mixed integer programming (90C11) Stochastic programming (90C15) Portfolio theory (91G10)
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