Enhanced index tracking (EIT) problems aim to construct portfolios that track market-index movements while delivering superior performance. Although various optimization models have been proposed for the EIT problem, to the best of our knowledge, there has been no comprehensive comparison of these models to date. This paper addresses this issue by conducting a thorough evaluation of existing EIT optimization models over real-life datasets, taken from the Tehran stock market. The methodology used to compare models offer valuable insights for financial professionals and investors and help them in selecting the most effective strategies to improve their investment performance.
Hooshmand,F. , Sadeghi,N. and MirHassani,S. A. (2025). Experimental model selection for the enhanced index tracking problem. (e5674). AUT Journal of Mathematics and Computing, (), e5674 doi: 10.22060/ajmc.2025.23174.1237
MLA
Hooshmand,F. , , Sadeghi,N. , and MirHassani,S. A. . "Experimental model selection for the enhanced index tracking problem" .e5674 , AUT Journal of Mathematics and Computing, , , 2025, e5674. doi: 10.22060/ajmc.2025.23174.1237
HARVARD
Hooshmand F., Sadeghi N., MirHassani S. A. (2025). 'Experimental model selection for the enhanced index tracking problem', AUT Journal of Mathematics and Computing, (), e5674. doi: 10.22060/ajmc.2025.23174.1237
CHICAGO
F. Hooshmand, N. Sadeghi and S. A. MirHassani, "Experimental model selection for the enhanced index tracking problem," AUT Journal of Mathematics and Computing, (2025): e5674, doi: 10.22060/ajmc.2025.23174.1237
VANCOUVER
Hooshmand F., Sadeghi N., MirHassani S. A. Experimental model selection for the enhanced index tracking problem. AUT J Math Comput, 2025; (): e5674. doi: 10.22060/ajmc.2025.23174.1237
