Timeline for Mixed-integer programming approach for index tracking
Current License: CC BY-SA 4.0
10 events
| when toggle format | what | by | license | comment | |
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| May 18, 2021 at 17:53 | answer | added | mark leeds | timeline score: 1 | |
| May 18, 2021 at 3:13 | comment | added | mark leeds | In the formulation, obviously the $x_{i}$ are constrained to be greater than or equal to zero. But are the $t_{i}$ constrained in the same way ? I think there's a problem with your inequalities unless you constrain the $t_{i}$ in the same way as the $x_{i}$. | |
| May 18, 2021 at 3:08 | comment | added | mark leeds | Thanks. I'll think about it some. I see where you going but I can't think of way to introduce 8 0-1 variables, $d_i$ in order to tell the program that only 3 of the $x_{i}$ can change. Don't count on me coming up with something but hopefully someone will. | |
| May 17, 2021 at 2:20 | history | edited | statwoman | CC BY-SA 4.0 |
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| May 17, 2021 at 2:09 | history | edited | statwoman | CC BY-SA 4.0 |
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| May 17, 2021 at 2:03 | history | edited | statwoman | CC BY-SA 4.0 |
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| May 16, 2021 at 23:14 | comment | added | statwoman | @markleeds There is no further information given and the objective is to minimize the distance between rebalanced portfolio and the M/V portfolio. | |
| May 16, 2021 at 23:08 | comment | added | mark leeds | Hi: Do you have the variances and covariances and the expected returns of the 8 stocks ? It seems like you need those unless the covariances are zero and the variances and returns are all the same. Also, what is your objective function ? Maximize return or minimize variance or some combination ? It is an interesting setup. | |
| May 16, 2021 at 21:36 | review | First posts | |||
| May 16, 2021 at 22:24 | |||||
| May 16, 2021 at 21:34 | history | asked | statwoman | CC BY-SA 4.0 |