Index tracking with constraint aggregation
Applied Economics Letters, cilt.10, sa.14, ss.913-916, 2003 (Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 10 Sayı: 14
- Basım Tarihi: 2003
- Doi Numarası: 10.1080/1350485032000158636
- Dergi Adı: Applied Economics Letters
- Derginin Tarandığı İndeksler: Scopus
- Sayfa Sayıları: ss.913-916
- Boğaziçi Üniversitesi Adresli: Evet
Özet
A generic index tracking (IT) problem is formulated and solved using a constraint aggregation (CA) technique for the first time. This technique makes the number of constraints independent of the cardinal of the universe of assets and enables the handling of large IT problems with one constraint only.