Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model

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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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Bibliographic Details
Main Authors:	Lam, Weng Siew, Saiful Hafizah Jaaman, Lam, Weng Hoe
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2020
Online Access:	http://journalarticle.ukm.my/15091/ http://journalarticle.ukm.my/15091/1/jqma-16-1-paper5.pdf

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