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Applied Economics Letters Volume 10, 2003 - Issue 14
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Original Articles

Index tracking with constraint aggregation

Nesr[idot]n Okay Department of Management
&
Uğur Akman Department of Chemical Engineering, Boğaziçi University, Bebek 34342, İstanbul, Turkey
Pages 913-916 | Published online: 04 Jun 2010
 
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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.

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