Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm

Author:

Hooshmand F.ORCID,Rasouli Z.

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,Computer Science Applications,Information Systems,Management Information Systems

Reference39 articles.

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2. Guastaroba, G., Speranza, M.G.: Kernel search: an application to the index tracking problem. Eur. J. Oper. Res. 217(1), 54–68 (2012)

3. Hooshmand, F., MirHassani, S.A.: Efficient DC algorithm for the index-tracking problem. In: Vasant, P., Zelinka, I., Weber, G.W. (eds.) Intelligent Computing & Optimization. ICO 2021. Lecture Notes in Networks and Systems. Springer, Cham (2022)

4. Mezali, H., Beasley, J.E.: Index tracking with fixed and variable transaction costs. Optim. Lett. 8, 61–80 (2014)

5. Stoyan, S.J., Kwon, R.H.: A two-stage stochastic mixed-integer programming approach to the index tracking problem. Optim. Eng. 11, 247–275 (2010)

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