Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming

Article

Abstract: In this paper, we discuss the index tracking strategy using mathematical programming. First, we use

Palabras claves:

Genetic Algorithm, Index tracking, Portfolio optimization

Autores:

Denis Borenstein, Guedes P.C., Pascoal Filomena T., Sant’Anna L.

Fuentes:

scopus