A stochastic-optimization technique based on time series cluster analysis is described for index tracking and enhanced index tracking problems. Our methodology solves the problem in two steps, i.e., by first selecting a subset of stocks and then setting the weight of each stock as a result of an opt
Hausdorff clustering of financial time series
β Scribed by Nicolas Basalto; Roberto Bellotti; Francesco De Carlo; Paolo Facchi; Ester Pantaleo; Saverio Pascazio
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 999 KB
- Volume
- 379
- Category
- Article
- ISSN
- 0378-4371
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