Application of an optimization model for constructing an index tracker portfolio and considering the uncertainty of model parameters by using of robust optimization approach
index tracking is the process of developing a portfolio that reproduces the performance of an index. The tracker portfolio has relatively good diversity and low turnover and low transaction costs. In this paper we applied a binary programming model for index tracking problem. In this model the numbe...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2015-09-01
|
| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_52081_072718015d4c7c7e99a6796c1b3f9627.pdf |