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Applied Economics Letters Volume 28, 2021 - Issue 3
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Research Article

CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints

Zhihua Zhaoa School of Economics and Finance, Xi’an Jiaotong University, Xi’an, ChinaView further author information
,
Hao Wangb School of Information Science and Technology, ShanghaiTech University, Shanghai, ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-8821-7260View further author information
ORCID Icon,
Xiangyu Yangb School of Information Science and Technology, ShanghaiTech University, Shanghai, ChinaView further author information
&
Fengmin Xua School of Economics and Finance, Xi’an Jiaotong University, Xi’an, ChinaView further author information
Pages 201-207 | Published online: 20 Mar 2020

Citations (4)

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Saejoon Kim. (2021) Deep time series forecasting for enhanced index tracking. Applied Economics 53:17, pages 1916-1934.
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Articles from other publishers (3)

Zhihua Allen-Zhao, Fengmin Xu, Yu-Hong Dai & Sanyang Liu. (2024) Robust enhanced indexation optimization with sparse industry layout constraint. Computers & Operations Research 161, pages 106420.
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F. Hooshmand & Z. Rasouli. (2023) Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm. OPSEARCH 60:3, pages 1286-1311.
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Fernando Garcia, Jairo González-Bueno, Francisco Guijarro, Javier Oliver & Rima Tamošiūnienė. (2020) MULTIOBJECTIVE APPROACH TO PORTFOLIO OPTIMIZATION IN THE LIGHT OF THE CREDIBILITY THEORY. Technological and Economic Development of Economy 26:6, pages 1165-1186.
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