Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem
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DOI: 10.1016/j.ejor.2015.11.037
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- Gaustaroba, Gianfranco & Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Linear Programming Models based on Omega Ratio for the Enhanced Index Tracking Problem," MPRA Paper 67097, University Library of Munich, Germany.
References listed on IDEAS
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More about this item
Keywords
Enhanced index tracking; Omega ratio; Portfolio optimization; Linear programming; Mixed integer linear programming;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G1 - Financial Economics - - General Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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