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Index tracking with constraint aggregation

Nesrin Okay () and Uğur Akman ()

Applied Economics Letters, 2003, vol. 10, issue 14, 913-916

Abstract: 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.

Date: 2003
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DOI: 10.1080/1350485032000158636

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Handle: RePEc:taf:apeclt:v:10:y:2003:i:14:p:913-916