RePEcTrading, Microstructure & Execution
Optimization models for liquidity-constrained index tracking
The article discusses two models for integrating liquidity constraints in index tracking portfolio optimization, revealing higher liquidity and tracking errors in such portfolios.
Featured in No. 27 on 29 Nov 2023 · on release day
- Released
- 29 Nov 2023
- First featured
- No. 27 · 29 Nov 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 34
- Identifier
- RePEc:spr:annopr:v:330:y:2023:i:1:d:10.1007_s10479-021-04173-2
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).