Optimal portfolio selection and dynamic benchmark tracking-Reference-Cited by-同舟云学术

Optimal portfolio selection and dynamic benchmark tracking

Published:2005-05 Issue:1 Volume:163 Page:115-131
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Gaivoronski Alexei A.,Krylov Sergiy,van der Wijst Nico

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference22 articles.

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2. J.E. Beasley, N. Meade, T.-J. Chang, An evolutionary heuristic for the index tracking problem, Working paper available from the first author at Management School, Imperial College, London SW7 2AZ, England, October 2001

3. Introduction to Stochastic Programming;Birge,1997

4. Dynamic stochastic programming for asset-liability management;Consigli;Annals of Operations Research,1998

5. Integrated simulation and optimization models for tracking international fixed income indices;Consiglio;Mathematical Programming,2001

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