Robust portfolio selection for index tracking

Computers and Operations Research

Volumn 39, Issue 4, 2012, Pages 829-837

  Chen, Chen ^a   Kwon, Roy H ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

Index tracking; Passive fund management; Portfolio selection; Robust optimization

Indexed keywords

INDEX TRACKING; INTEGER PROGRAM; NOMINAL MODELS; OBJECTIVE FUNCTIONS; PASSIVE FUND MANAGEMENT; PORTFOLIO SELECTION; PORTFOLIO SELECTION MODELS; POTENTIAL ESTIMATION; RISK PROFILE; ROBUST MODELS; ROBUST OPTIMIZATION; TRACKING ERRORS;

INTEGER PROGRAMMING;

TARGET TRACKING;

EID: 80051802238     PISSN: 03050548     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cor.2010.08.019     Document Type: Article

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