A constrained cluster-based approach for tracking the S&P 500 index
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DOI: 10.1016/j.ijpe.2017.07.018
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 ... read more here.
Keywords: tracking 500; constrained cluster; cluster based; approach tracking ... See more keywords