Dose, Christian; Cincotti, Silvano - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 145-151
A stochastic-optimization technique based on time series cluster analysis is described for index tracking and enhanced index tracking problems. Our methodology solves the problem in two steps, i.e., by first selecting a subset of stocks and then setting the weight of each stock as a result of an...
