Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem

Gianfranco Guastaroba, Renata Mansini, Wlodzimierz Ogryczak, Maria Grazia Speranza. Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem. European Journal of Operational Research, 251(3):938-956, 2016. [doi]

Abstract

Abstract is missing.