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Exact and heuristic approaches for the index tracking problem with UCITS constraints.
Andrea Scozzari
Fabio Tardella
Sandra Paterlini
Thiemo Krink
Published in:
Ann. Oper. Res. (2013)
Keyphrases
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constraint satisfaction
object tracking
heuristic methods
real time
search algorithm
kalman filter
exact algorithms
data sets
motion model
appearance model
constrained optimization
exact solution
partial solutions