Browsing Mathematics, Statistics & Physics by Publisher "Ascociacion Internacional de Economia Aplicada"
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Robust index-tracking and enhanced index-tracking in portfolio optimization
( 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 ...