scientific article

zbMath0765.90012MaRDI QIDQ4033158

J. W. Kwiatkowski

Publication date: 16 May 1993

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

portfolio of securitieslinear complementarity algorithmsestimation of the covariance matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of mathematical programming (90C90) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Enhanced index tracking with CVaR-based ratio measures ⋮ A two-stage approach to the UCITS-constrained index-tracking problem ⋮ Portfolio optimization with tri-objective for index fund management ⋮ A stochastic receding horizon control approach to constrained index tracking ⋮ A mixed 0--1 LP for index tracking problem with CVaR risk constraints

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