Optimization Letters

, Volume 8, Issue 1, pp 61–80 | Cite as

Index tracking with fixed and variable transaction costs

  • H. Mezali
  • J. E. Beasley
Original Paper


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.


Index tracking Transaction cost 


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Copyright information

© Springer-Verlag 2012

Authors and Affiliations

  1. 1.Mathematical SciencesBrunel UniversityUxbridgeUK

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