| Reference: | Andrews, C., D. Ford, and K. Mallinson, The design of index funds and alternative methods of replication, The Investment Analyst 82(October), 16-23 (1986).
Brooke, A., D. Kendrick, and A. Meeraus, GAMS-A User’s Guide, The Scientific Press, Redwood City, CA, (1988).
Canakgoz N. A., and J. E. Beasley, Mixed-integer programming approaches for index tracking and enhanced indexation, European Journal of Operational Research 196, 384-399 (2008).
Feinstein, C. D., and M. N. Thapa, A reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39(12), 1552-1553 (1993).
Konno, H., and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37(5), 519-531 (1991).
Markowitz, H., Portfolio selection, Journal of Finance 7(1), 77-91 (1952).
Markowitz, H., Portfolio selection: Efficient diversification of investments, John Wiley & Sons, New York (1959).
Meade, N., and G. R. Salkin, Index funds-construction and performance measurement, Journal of the Operational Research Society 40(10), 871-879 (1989).
Speranza, M. G., Linear programming models for portfolio optimization, Finance 14(1), 107-123 (1993).
Yao, D. D., S. Zhang, and X. Y. Zhou, Tracking a financial benchmark using a few assets, Operations Research 54(2), 232-246 (2006).
Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44(5), 673-683 (1998).
白惠琦，指數基金追蹤模型的最佳化，國立政治大學應用數學系碩士論文（民91）。
莊智祥，使用目標規劃建立指數基金，國立政治大學應用數學系碩士論文（民87）。
謝承哲，追蹤穩定成長目標線的投資組合最佳化模型，國立政治大學應用數學系碩士論文(民99)
蘇代利，調整指數基金的最小成本模型，國立政治大學應用數學系碩士論文（民93）。 |
