An efficient optimization approach for a cardinality-constrained index tracking problem
نویسندگان
چکیده
منابع مشابه
An efficient optimization approach for a cardinality-constrained index tracking problem
In the practical business environment, portfolio managers often face businessdriven requirements that limit the number of constituents in their tracking portfolio. A natural index tracking model is thus to minimize a tracking error measure while enforcing an upper bound on the number of assets in the portfolio. In this paper we consider such a cardinality-constrained index tracking model. In pa...
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ژورنال
عنوان ژورنال: Optimization Methods and Software
سال: 2015
ISSN: 1055-6788,1029-4937
DOI: 10.1080/10556788.2015.1062891