Two new mean–variance enhanced index tracking models based on uncertainty theory

Author:

Yang Tingting,Huang XiaoxiaORCID

Funder

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference38 articles.

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2. Active portfolio management with benchmarking: A frontier based on alpha;Alexander;Journal of Banking & Finance,2010

3. Mixed-integer programming approaches for index tracking and enhanced indexation;Canakgoz;European Journal of Operational Research,2009

4. A conditional single index model with local covariates for detecting and evaluating active portfolio management;Caporin;The North American Journal of Economics and Finance,2013

5. Tracking errors, regret, and tactical asset allocation;Clarke;The Journal of Portfolio Management,1994

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