No arbitrage and a linear portfolio selection model
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References listed on IDEAS
- Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2012.
"Exact and heuristic approaches for the index tracking problem with UCITS constraints,"
Center for Economic Research (RECent)
081, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2012. "Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints," Department of Economics 0685, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2012. "A new stochastic dominance approach to enhanced index tracking problems," Economics Bulletin, AccessEcon, vol. 32(4), pages 3460-3470.
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- Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2015. "Linear vs. quadratic portfolio selection models with hard real-world constraints," Computational Management Science, Springer, vol. 12(3), pages 345-370, July.
- repec:pal:jorsoc:v:68:y:2017:i:7:d:10.1057_jors.2016.21 is not listed on IDEAS
- Bruni, Renato & Cesarone, Francesco & Scozzari, Andrea & Tardella, Fabio, 2017. "On exact and approximate stochastic dominance strategies for portfolio selection," European Journal of Operational Research, Elsevier, vol. 259(1), pages 322-329.
More about this item
KeywordsEnhanced Index Tracking; Asset Management; Portfolio Selection; No Arbitrage; Linear Programming;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G1 - Financial Economics - - General Financial Markets
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