Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits...

Manufacturing and service operations decisions depend critically on capacity and resource limits. These limits directly affect the risk inherent in those decisions. While risk consideration is well developed in finance through efficient market theory and the capital asset pricing model,...