Sparse index tracking using sequential Monte Carlo
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Publication:5039622
DOI10.1080/14697688.2022.2057353zbMATH Open1498.91498OpenAlexW4229061303MaRDI QIDQ5039622FDOQ5039622
Publication date: 30 September 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2022.2057353
Monte Carlo methods (65C05) Quadratic programming (90C20) Numerical methods (including Monte Carlo methods) (91G60) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10) Mixed integer programming (90C11)
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