Kernel search: an application to the index tracking problem

DOI10.1016/j.ejor.2011.09.004zbMath1244.91109OpenAlexW2081453649MaRDI QIDQ439324

G. Guastaroba, Maria Grazia Speranza

Publication date: 16 August 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.09.004

zbMATH Keywords

mixed-integer linear programming index tracking enhanced index tracking heuristic framework

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Mixed integer programming (90C11) Approximation methods and heuristics in mathematical programming (90C59) Financial applications of other theories (91G80)

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Cites Work