A two-stage stochastic mixed-integer programming approach to the index tracking problem

Optimization and Engineering

Volumn 11, Issue 2, 2010, Pages 247-275

  Stoyan, Stephen J ^a   Kwon, Roy H ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

Index tracking; Scenario generation; Stochastic programming

Indexed keywords

CURRENT INDEX; INDEX TRACKING; INDEX VALUES; ITERATIVE ALGORITHM; NP-HARD; PORTFOLIO MODEL; REAL-WORLD; REBALANCING; SCENARIO GENERATION; STOCHASTIC MIXED INTEGER PROGRAMMING; STOCHASTIC PROBLEMS; SUB-PROBLEMS; TRANSACTION COST; TWO STAGE;

INTEGER PROGRAMMING; STOCHASTIC MODELS; STOCHASTIC PROGRAMMING; STOCHASTIC SYSTEMS;

TARGET TRACKING;

EID: 77952544350     PISSN: 13894420     EISSN: 15732924     Source Type: Journal    
DOI: 10.1007/s11081-009-9095-1     Document Type: Article

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