Enhanced index tracking problem : a new optimization model and a sum-of-ratio based algorithm
Year of publication: |
2023
|
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Authors: | Hooshmand, F. ; Rasouli, Z. |
Published in: |
Opsearch : journal of the Operational Research Society of India. - New Delhi : Springer India, ISSN 0975-0320, ZDB-ID 2516085-0. - Vol. 60.2023, 3, p. 1286-1311
|
Subject: | Deviation of the portfolio value from the index value | Enhanced index tracking | Modified newton-based algorithm | Omega-ratio | Sum-of-ratio | Aktienindex | Stock index | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Algorithmus | Algorithm |
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