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

  • 1994The Sharpe Ratio2,542 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1977Exceptional Paper—Location of Bank Accounts to Optimize Float: An Analytic Study of Exact and Approximate Algorithms794 cited
  • 1979Note—On “Location of Bank Accounts to Optimize Float: An Analytic Study of Exact and Approximate Algorithms”430 cited
  • 2006Optimization Methods in Finance348 cited
  • 2003An evolutionary heuristic for the index tracking problem340 cited
  • 1978Lagrangean Relaxation Applied to Capacitated Facility Location Problems248 cited
  • 2003Portfolio Optimization with Tracking-Error Constraints246 cited
  • 2008Mixed-integer programming approaches for index tracking and enhanced indexation244 cited
  • 2004Using genetic algorithm to support portfolio optimization for index fund management181 cited
  • 2011Kernel Search: An application to the index tracking problem171 cited
  • 2004Optimal portfolio selection and dynamic benchmark tracking139 cited
  • 2002Optimal Benchmark Tracking with Small Portfolios104 cited
  • 2008A hybrid optimization approach to index tracking

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101 cited
  • 1999Portfolio Construction Through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company101 cited
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