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ArticleEnhanced index tracking optimal portfolio selection

Wanderlei Lima de Paulo2015

Article2015

Enhanced index tracking optimal portfolio selection

Wanderlei Lima de Paulo · Estela Mara de Oliveira · O.L.V. Costa

25 citations·0/0 files stored·Finance research letters

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1952PORTFOLIO SELECTION*2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation 1992A Mean/Variance Analysis of Tracking Error 2003An evolutionary heuristic for the index tracking problem 2008Mixed-integer programming approaches for index tracking and enhanced indexation 2011Kernel Search: An application to the index tracking problem 2005Clustering of financial time series with application to index and enhanced index tracking portfolio 2012A new method for mean-variance portfolio optimization with cardinality constraints

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Year2015

Typearticle

Published2015-11-11

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations25

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.frl.2015.10.005

openalex_workW2175512888

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