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Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 15 (2008)
Issue (Month): 1 (March)
Pages: 3-24
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:apfinm:v:15:y:2008:i:1:p:3-24

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Related research

Keywords: Computational methods; Constraints; Index tracking; Receding horizon control; Stochastic control;

References listed on IDEAS
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1. Peter Meindl & James Primbs, 2008. "Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach," Quantitative Finance, Taylor and Francis Journals, vol. 8(3), pages 299-312. [Downloadable!] (restricted)
2. Florian Herzog & Gabriel Dondi & Simon Keel & Lorenz M. Schumani & Hans P. Geering, 2007. "Solving ALM problems via sequential stochastic programming," Quantitative Finance, Taylor and Francis Journals, vol. 7(2), pages 231-244. [Downloadable!] (restricted)
3. Florian Herzog & Gabriel Dondi & Hans P. Geering, 2007. "Stochastic Model Predictive Control And Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 203-233. [Downloadable!] (restricted)
4. Gaivoronski, Alexei A. & Krylov, Sergiy & van der Wijst, Nico, 2005. "Optimal portfolio selection and dynamic benchmark tracking," European Journal of Operational Research, Elsevier, vol. 163(1), pages 115-131, May. [Downloadable!] (restricted)
5. Rudolf, Markus & Wolter, Hans-Jurgen & Zimmermann, Heinz, 1999. "A linear model for tracking error minimization," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 85-103, January. [Downloadable!] (restricted)
6. Beasley, J. E. & Meade, N. & Chang, T. -J., 2003. "An evolutionary heuristic for the index tracking problem," European Journal of Operational Research, Elsevier, vol. 148(3), pages 621-643, August. [Downloadable!] (restricted)

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This page was last updated on 2009-12-4.