Oliver Strub, Philipp Baumann. Optimal construction and rebalancing of index-tracking portfolios. European Journal of Operational Research, 264(1):370-387, 2018. [doi]
@article{StrubB18,
title = {Optimal construction and rebalancing of index-tracking portfolios},
author = {Oliver Strub and Philipp Baumann},
year = {2018},
doi = {10.1016/j.ejor.2017.06.055},
url = {https://doi.org/10.1016/j.ejor.2017.06.055},
researchr = {https://researchr.org/publication/StrubB18},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {264},
number = {1},
pages = {370-387},
}