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

Gianfranco GuastarobaRenata MansiniWlodzimierz OgryczakMaria Grazia Speranza
Published in: Eur. J. Oper. Res. (2016)
Keyphrases
  • linear programming
  • real time
  • lower bound
  • prior knowledge
  • linear program
  • probabilistic model
  • probability distribution
  • multi dimensional
  • parameter estimation
  • object tracking