---
title: Optimization models for liquidity-constrained index tracking
url: https://www.ml-quant.com/papers/repec/spr-annopr-v-330-y-2023-i-1-d-10-1007-s10479-021-04173-2/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:spr:annopr:v:330:y:2023:i:1:d:10.1007_s10479-021-04173-2
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10479-021-04173-2%3Bh%3Drepec%3Aspr%3Aannopr%3Av%3A330%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s10479-021-04173-2
featured: 2023-11-29
citations: unknown
topic: Trading, Microstructure & Execution
---


# Optimization models for liquidity-constrained index tracking

The article discusses two models for integrating liquidity constraints in index tracking portfolio optimization, revealing higher liquidity and tracking errors in such portfolios.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10479-021-04173-2%3Bh%3Drepec%3Aspr%3Aannopr%3Av%3A330%3Ay%3A2023%3Ai%3A1%3Ad%3A10.1007_s10479-021-04173-2
- Identifier: RePEc:spr:annopr:v:330:y:2023:i:1:d:10.1007_s10479-021-04173-2
- Released: 2023-11-29
- First featured: Quant Letter No. 27 (2023-11-29): https://www.ml-quant.com/issues/2023-11-29/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution

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