An optimisation approach to constructing an exchange-traded fund
Author:
Publisher
Springer Science and Business Media LLC
Subject
Control and Optimization
Link
http://link.springer.com/content/pdf/10.1007/s11590-014-0779-x.pdf
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3. Beasley, J.E.: Portfolio optimisation: models and solution approaches. In: Topaloglu, H. (Ed) Tutorials in Operations Research, vol. 10, chapter 11, pp. 201–221. INFORMS, Catonsville, Maryland, USA (2013)
4. Beasley, J.E., Meade, N., Chang, T.-J.: An evolutionary heuristic for the index tracking problem. Eur. J. Oper. Res. 148(3), 621–643 (2003)
5. Boehmer, B., Boehmer, E.: Trading your neighbor’s ETFs: competition or fragmentation? J. Bank. Finance 27(9), 1667–1703 (2003)
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