Polynomial goal programming and particle swarm optimization for enhanced indexation
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DOI: 10.1007/s00500-019-04378-5
Abstract: Enhanced indexation is an investment strategy that aims to generate moderate and consistent excess returns with respect to a tracked benchmark index. In this work, we introduce an optimization approach where the risk of under-performing… read more here.
Keywords: enhanced indexation; goal programming; swarm optimization; particle swarm ... See more keywords