A risk-gain dominance maximization approach to enhanced index tracking
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More about this item
KeywordsAsset allocation; Portfolio performance measures optimization; Enhanced indexation; Nonlinear programming;
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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