On a local-search heuristic for a class of tracking error minimization problems in portfolio management

Annals of Operations Research

Volumn 131, Issue 1-4, 2004, Pages 45-77

  Derigs, Ulrich ^a   Nickel, Nils H ^a  

^a UNIVERSITY OF COLOGNE   (Germany)

Author keywords

investment guidelines; meta heuristics; multi factor return model; portfolio optimization; simulated annealing; tracking error problem; transaction costs

Indexed keywords

EID: 4444253412     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1023/B:ANOR.0000039512.98833.5a     Document Type: Article

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