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An enhanced decision support approach for learning and tracking derivative index

  • Published:2019-10 Issue: Volume:88 Page:63-76
  • ISSN:0305-0483
  • Container-title:Omega
  • language:en
  • Short-container-title:Omega

Author:

Wu DexiangORCID,Dash Wu Desheng

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Strategy and Management

Reference29 articles.

1. Index roll reports. http://www.dtcc.com/repository-otc-data.

2. Service system design for managing interruption risks: a backup-service risk-mitigation strategy;Ahmadi-Javid;Eur J Oper Res,2018

3. Tighter MIP models for barge container ship routing;Alfandari;Omega,2019

4. Cds index tranches and the pricing of credit risk correlations;Amato;BIS Quart Rev,2005

5. Credit risk optimization with conditional value-at-risk criterion;Andersson;Math Program,2001

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1. A systematic literature review on solution approaches for the index tracking problem;IMA Journal of Management Mathematics;2023-04-17

2. Robust enhanced index tracking problem with mixture of distributions;Expert Systems with Applications;2022-09

3. An enhanced GRASP approach for the index tracking problem;International Transactions in Operational Research;2022-06-16

4. IntelliPortfolio: Intelligent Portfolio for Enhanced Index Tracking Using Clustering and LSTM;Mathematical Problems in Engineering;2022-04-14

5. Sparse portfolio selection with uncertain probability distribution;Applied Intelligence;2021-02-09
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