Index tracking with fixed and variable transaction costs (with H. Mezali) Optimization Letters vol.8, no.1, 2014, pp61-80
Index tracking is a form of passive portfolio (fund) management that attempts to mirror the performance of a specific index and generate returns that are equal to those of the index, but without purchasing all of the stocks that make up the index. We present two mixed-integer linear programming formulations of this problem. In particular we explicitly consider both fixed and variable transaction costs. Computational results are presented for data sets drawn from major world markets.
J E Beasley