Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming. - Leonardo Riegel Sant'Anna; Tiago Pascoal Filomena; Pablo Cristini Guedes; Denis Borenstein (Ann. Oper. Res., 2017)

Investigating the use of statistical process control charts for index tracking portfolios. - Leonardo Riegel Sant'Anna; Tiago Pascoal Filomena; João Frois Caldeira; Denis Borenstein (J. Oper. Res. Soc., 2019)

Liquidity-constrained index tracking optimization models. - Eduardo Bered Fernandes Vieira; Tiago Pascoal Filomena; Leonardo Riegel Sant'Anna; Miguel A. Lejeune (Ann. Oper. Res., 2023)