A hybrid optimization approach to index tracking

DOI10.1007/s10479-008-0404-4zbMath1163.91421OpenAlexW1988871589MaRDI QIDQ1026552

Alberto Suárez, Rubén Ruiz-Torrubiano

Publication date: 25 June 2009

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0404-4

zbMATH Keywords

data miningasset managementfinancial modeling

Mathematics Subject Classification ID

Searching and sorting (68P10) Quadratic programming (90C20)

Related Items

Sparse index tracking using sequential Monte Carlo, Group sparse enhanced indexation model with adaptive beta value, A two-stage approach to the UCITS-constrained index-tracking problem, Minimizing the tracking error of cardinality constrained portfolios, Exact and heuristic approaches for the index tracking problem with UCITS constraints, Enhanced indexing for risk averse investors using relaxed second order stochastic dominance, Quadratic hedging for sequential claims with random weights in discrete time, Solving the index tracking problem: a continuous optimization approach, Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming, High-dimensional sparse index tracking based on a multi-step convex optimization approach, Adaptive projected gradient thresholding methods for constrained \(l_0\) problems, A bi‐level programming framework for identifying optimal parameters in portfolio selection, The curvature of the tracking frontier: a new criterion for the partial index tracking problem, An enhanced GRASP approach for the index tracking problem, A hybrid approach for index tracking with practical constraints, Index tracking with fixed and variable transaction costs, An index tracking model with stratified sampling and optimal allocation, High-dimensional index tracking based on the adaptive elastic net, Efficient projected gradient methods for cardinality constrained optimization, Index tracking and enhanced indexing using mixed conditional value-at-risk, A sparse enhanced indexation model with chance and cardinality constraints, A mixed 0--1 LP for index tracking problem with CVaR risk constraints, Selection of balanced portfolios to track the main properties of a large market, Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets, Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios, An efficient optimization approach for a cardinality-constrained index tracking problem, On cutting planes for cardinality-constrained linear programs

Uses Software

• OR-Library

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• An evolutionary heuristic for the index tracking problem.
• Portfolio optimization with linear and fixed transaction costs
• Optimal Index Tracking Under Transaction Costs and Impulse Control
• Optimal hedging using cointegration
• Integrated simulation and optimization models for tracking international fixed income indices