Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model
The investors wish to achieve higher portfolio return than the benchmark index return at minimum tracking error (TE) in enhanced index tracking. This study aims to develop the optimal portfolio to track the benchmark sectorial index in Malaysia with two-stage mixed integer programming (MIP) model by...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2020
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| Online Access: | http://journalarticle.ukm.my/15091/1/jqma-16-1-paper5.pdf http://journalarticle.ukm.my/15091/ http://www.ukm.my/jqma/current.html |
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