A new stochastic dominance approach to enhanced index tracking problems
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References listed on IDEAS
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- Francesco Cesarone & Jacopo Moretti & Fabio Tardella, 2016. "Optimally chosen small portfolios are better than large ones," Economics Bulletin, AccessEcon, vol. 36(4), pages 1876-1891.
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More about this item
KeywordsEnhanced Index Tracking; Portfolio Selection; Stochastic Dominance; Constraint Generation;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G1 - Financial Economics - - General Financial Markets
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