A ROBUST OPTIMIZATION APPROACH FOR INDEX TRACKING PROBLEM
نویسندگان
چکیده
منابع مشابه
A robust Optimization Approach for Index tracking Problem
Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this study, quadratic as well as linear models are presented for minimizing the tracking error. The unc...
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ژورنال
عنوان ژورنال: Journal of Computer Science
سال: 2014
ISSN: 1549-3636
DOI: 10.3844/jcssp.2014.2450.2463