Browsing Bergen Open Research Archive by Author "Mutunge, Purity Kamene"
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The index tracking problem with a limit on portfolio size
Mutunge, Purity Kamene (Master thesis, 2014-11-19)For a passive fund manager tracking a benchmark, it is not uncommon to select some, and not all the assets in the index to his portfolio. In this thesis, we consider the problem of minimizing the tracking error under the ...