Index tracking with fixed and variable transaction costs

DOI10.1007/S11590-012-0534-0zbMath1284.91526OpenAlexW2091323225MaRDI QIDQ2439491

H. Mezali, John E. Beasley

Publication date: 14 March 2014

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-012-0534-0

zbMATH Keywords

transaction costindex tracking

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

Polynomial goal programming and particle swarm optimization for enhanced indexation ⋮ Solving the index tracking problem: a continuous optimization approach ⋮ Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm ⋮ Cardinality minimization, constraints, and regularization: a survey

Uses Software

• CPLEX
• OR-Library

Cites Work

• The curvature of the tracking frontier: a new criterion for the partial index tracking problem
• Kernel search: a new heuristic framework for portfolio selection
• Kernel search: an application to the index tracking problem
• Kernel search: a general heuristic for the multi-dimensional knapsack problem
• A hybrid optimization approach to index tracking
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Robust portfolio selection for index tracking
• An evolutionary heuristic for the index tracking problem.
• Differential evolution and combinatorial search for constrained index-tracking
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Constrained Index Tracking under Loss Aversion Using Differential Evolution
• Bicriteria Optimization Problem of Designing an Index Fund

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