Browsing Mathematics, Statistics & Physics by Author "Lotfi, S."
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Robust index-tracking and enhanced index-tracking in portfolio optimization
Khoshabar, N.A.; Salahi, M.; Lotfi, S.; Hamdi, A. ( Ascociacion Internacional de Economia Aplicada , 2020 , Article)We study index-tracking and enhanced index-tracking problems in portfolio optimization under interval uncertainty for returns and covariance matrix. The proposed robust counterparts for both models are in the form of second ...