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Portfolio selection with inflation-linked bonds and indexation lags
Journal of Economic Dynamics and Control, 2019We derive the price of inflation-indexed bonds of which the payments are linked to a lagged price index and solve for the optimal bond portfolio under both inflation and indexation lags in closed form.
Kai Li
semanticscholar +1 more source
A sparse enhanced indexation model with norm and its alternating quadratic penalty method
Journal of the Operational Research Society, 2019Zhihua Zhao +3 more
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A sparse enhanced indexation model with chance and cardinality constraints
Journal of Global Optimization, 2017Fengmin Xu +3 more
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Rao’s quadratic entropy and maximum diversification indexation
, 2018B. Carmichael, G. Koumou, Kevin Moran
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