Subset SSD for enhanced indexation with sector constraints
By Cristiano Arbex Valle, John E Beasley
Rating
1372
Battle Count: 295
Relevance
9/10
Highly relevant for portfolio managers seeking to outperform market indices while considering sector constraints
Implementation Complexity
7/10
Requires understanding of SSD and optimization techniques, but the authors provide a detailed methodology
Reproducibility
4/5
The authors provide detailed methodology and make their data publicly available on GitHub
About this paper
Methodology: Subset SSD. Problem types: Portfolio Optimization, Enhanced Indexation.
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