Index tracking with constraint aggregation
Nesrin Okay () and
Uğur Akman ()
Applied Economics Letters, 2003, vol. 10, issue 14, 913-916
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.
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