On a local-search heuristic for a class of tracking error minimization problems in portfolio management
type: Item
instance of: scholarly article
title: On a local-search heuristic for a class of tracking error minimization problems in portfolio management
zbMATH Open document ID: 1067.91026
author: Ulrich Derigs
author: Nils-H. Nickel
published in: Annals of Operations Research
publication date: 2005-01-17T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C59
Mathematics Subject Classification ID: 91B74
zbMATH DE Number: 2128869
zbMATH Keywords: Portfolio optimization
zbMATH Keywords: tracking error problem
zbMATH Keywords: investment guidelines
zbMATH Keywords: multi-factor return model
zbMATH Keywords: transaction costs
zbMATH Keywords: meta-heuristics
zbMATH Keywords: simulated annealing
MaRDI profile type: MaRDI publication profile
DOI: 10.1023/B:ANOR.0000039512.98833.5A
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description: scientific article; zbMATH DE number 2128869