Mixed-integer programming approaches for index tracking and enhanced indexation-Reference-Cited by-同舟云学术

Mixed-integer programming approaches for index tracking and enhanced indexation

Published:2009-07 Issue:1 Volume:196 Page:384-399
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Canakgoz N.A.,Beasley J.E.

Publisher

Elsevier BV

Subject

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

Reference25 articles.

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2. Indexing, cointegration and equity market regimes;Alexander;International Journal of Finance and Economics,2005

3. Indexing and statistical arbitrage: Tracking error or cointegration?;Alexander;Journal of Portfolio Management,2005

4. OR-Library: Distributing test problems by electronic mail;Beasley;Journal of the Operational Research Society,1990

5. An evolutionary heuristic for the index tracking problem;Beasley;European Journal of Operational Research,2003

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