Tracking and outperforming large stock-market indices

•We study the problem of tracking and outperforming large stock-market indices.•We compare linear and quadratic objective functions used in the literature.•We consider various real-life constraints that are relevant in practice.•We propose novel MIP formulations and novel matheuristics.•We find that...

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Bibliographic Details

Published in:	Omega (Oxford) Vol. 90; p. 101999
Main Authors:	Gnägi, M., Strub, O.
Format:	Journal Article
Language:	English
Published:	Elsevier Ltd 01.01.2020
Subjects:	Enhanced index tracking Matheuristics Mixed-Integer programming Mixed-Integer programming Enhanced index tracking Matheuristics
ISSN:	0305-0483, 1873-5274
Online Access:	Get full text
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