Thiemo Krink

affiliation not provided to SSRN

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Scholarly Papers (1)

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Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints

Number of pages: 18 Posted: 26 May 2012
University of Rome Niccolo' Cusano, Faculty of Economics - Sapienza University of Rome, University of Trento - Department of Economics and Management and affiliation not provided to SSRN
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Abstract:

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Index tracking, mixed integer quadratic programming, stochastic search heuristics, differential evolution, cardinality constraints