Optimal construction and rebalancing of index-tracking portfolios
O. Strub, P. Baumann
| Year of publication: |
1 January 2018
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|---|---|
| Authors: | Strub, O. ; Baumann, Philipp |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 264.2018, 1 (1.1.), p. 370-387
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| Subject: | Finance | Index tracking | Rebalancing | Mixed-integer linear programing | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.06.055 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011801727