An evolutionary heuristic for the index tracking problem
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Zenios, Stavros A. & Holmer, Martin R. & McKendall, Raymond & Vassiadou-Zeniou, Christiana, 1998. "Dynamic models for fixed-income portfolio management under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(10), pages 1517-1541, August.
- Hodges, Stewart D, 1976. "Problems in the application of portfolio selection models," Omega, Elsevier, vol. 4(6), pages 699-709.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Donald B. Keim, .
"An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks,"
Rodney L. White Center for Financial Research Working Papers
05-98, Wharton School Rodney L. White Center for Financial Research.
- Keim, Donald B., 1999. "An analysis of mutual fund design: the case of investing in small-cap stocks," Journal of Financial Economics, Elsevier, vol. 51(2), pages 173-194, February.
- Donald B. Keim, . "An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks," Rodney L. White Center for Financial Research Working Papers 5-98, Wharton School Rodney L. White Center for Financial Research.
- Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 69(2), pages 133-57, April.
- Sid Browne, 1999. "Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark," Finance and Stochastics, Springer, vol. 3(3), pages 275-294.
- 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.
- Adcock, C. J. & Meade, N., 1994. "A simple algorithm to incorporate transactions costs in quadratic optimisation," European Journal of Operational Research, Elsevier, vol. 79(1), pages 85-94, November.
When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:148:y:2003:i:3:p:621-643. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.