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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2023
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| Materias: | |
| 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 |