"A constrained cluster-based approach for tracking the S&P 500 index"

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We consider the problem of tracking a benchmark target portfolio of financial securities in particular the S&P 500. Linear integer programming models are developed that seeks to track a target… Click to show full abstract

We consider the problem of tracking a benchmark target portfolio of financial securities in particular the S&P 500. Linear integer programming models are developed that seeks to track a target ...

Keywords: tracking 500; constrained cluster; cluster based; approach tracking; 500 index; based approach

Journal Title: International Journal of Production Economics
Year Published: 2017

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