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A constrained cluster-based approach for tracking the S&P 500 index · Study

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ArticleA constrained cluster-based approach for tracking the S&P 500 index

Dexiang Wu2017

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Articlegreen2017

A constrained cluster-based approach for tracking the S&P 500 index

Dexiang Wu · Roy H. Kwon · Giorgio Costa

27 citations·0/0 files stored·International Journal of Production Economics

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Optimization and Mathematical Programming

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References

1994The Sharpe Ratio 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice 1977Exceptional Paper—Location of Bank Accounts to Optimize Float: An Analytic Study of Exact and Approximate Algorithms 1979Note—On “Location of Bank Accounts to Optimize Float: An Analytic Study of Exact and Approximate Algorithms”2006Optimization Methods in Finance 2003An evolutionary heuristic for the index tracking problem 1978Lagrangean Relaxation Applied to Capacitated Facility Location Problems

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Year2017

Typearticle

Published2017-07-22

VenueInternational Journal of Production Economics

ISSN-L0925-5273

Languageen

Citations27

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ijpe.2017.07.018

openalex_workW2738692001

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