A New Portfolio Optimization Model Under Tracking-Error Constraint with Linear Uncertainty Distributions

Enhanced index tracking problem is the issue of selecting a tracking portfolio to outperform the benchmark return with a minimum tracking error. In this paper, we address the enhanced index tracking problem based on uncertainty theory where stock returns are treated as uncertain variables instead of...

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Detalles Bibliográficos
Autores principales: Yang, Tingting, Huang, Xiaoxia
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9552167/
https://www.ncbi.nlm.nih.gov/pubmed/36247653
http://dx.doi.org/10.1007/s10957-022-02116-w

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9552167/
https://www.ncbi.nlm.nih.gov/pubmed/36247653
http://dx.doi.org/10.1007/s10957-022-02116-w

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