A new uncertain enhanced index tracking model with higher-order moment of the downside

Enhanced index tracking (EIT) problem is concerned with selecting a tracking portfolio to beat the benchmark on return while having the minimum tracking error. This paper addresses the EIT problem based on uncertainty theory where stock returns are treated as uncertain variables instead of random va...

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Detalles Bibliográficos
Autores principales: Yang, Tingting, Huang, Xiaoxia, Hong, Kwon Ryong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2023
Materias:
Optimization
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10198606/
https://www.ncbi.nlm.nih.gov/pubmed/37362300
http://dx.doi.org/10.1007/s00500-023-08265-y

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10198606/
https://www.ncbi.nlm.nih.gov/pubmed/37362300
http://dx.doi.org/10.1007/s00500-023-08265-y

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