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A novel robust mixed integer linear programming model for index tracking problem under no rebalancing: heuristic optimization approach
Danial Ramezani / Mohamadreza Dehghani Ahmadabad / Mostafa Abouei Ardakan
algorithms / optimizationResource overview

A novel robust mixed integer linear programming model for index tracking problem under no rebalancing: heuristic optimization approach

Paper2026

by Danial Ramezani, Mohamadreza Dehghani Ahmadabad, Mostafa Abouei Ardakan

Tags
algorithmsoptimizationportfolio managementportfolio optimization

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Suggested foundations for portfolio construction and optimisation and numerical methods. Specialist prerequisites vary by paper.

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  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

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  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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