On a Local-Search Heuristic for a Class of Tracking Error Minimization Problems in Portfolio Management.
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DBLP journals/anor/DerigsN04
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2004
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On a Local-Search Heuristic for a Class of Tracking Error Minimization Problems in Portfolio Management.
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45-77
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portfolio optimization; tracking error problem; investment guidelines; multi-factor return model; transaction costs; meta-heuristics; simulated annealing
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On a Local-Search Heuristic for a Class of Tracking Error Minimization Problems in Portfolio Management.
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