A method for robust index tracking

DOI10.1007/978-3-642-20009-0_2MaRDI QIDQ5232790zbMATH OpenOpenAlexFDO

Authors Denis Karlow, Peter Rossbach

Publication date 13 September 2019

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-20009-0_2

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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• Equity index replication with standard and robust regression estimators
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Cited in

(29)

• A hybrid optimization approach to index tracking
• Applying time series decomposition to construct index-tracking portfolio
• Robust portfolio selection for index tracking
• Equity index replication with standard and robust regression estimators
• Factor-based robust index tracking
• A hybrid approach for index tracking with practical constraints
• Sub-additive recursive ``matching noise and biases in risk-weighted index calculation methods in incomplete markets with partially observable multi-attribute preferences
• Index mutual fund replication
• A generalized description length approach for sparse and robust index tracking
• Mean-risk optimization for index tracking
• The curvature of the tracking frontier: a new criterion for the partial index tracking problem
• A non-parametric index of tracking
• Dynamic index tracking and risk exposure control using derivatives
• A methodology for index tracking based on time-series clustering
• An index tracking model with stratified sampling and optimal allocation
• Fast methods for the index tracking problem
• scientific article; zbMATH DE number 1836443 (Why is no real title available?)
• Index tracking through deep latent representation learning
• Sparse index tracking using sequential Monte Carlo
• Myopic robust index tracking with Bregman divergence
• Estimation risk and the implicit value of index-tracking
• Index tracking based on sparse-group Lasso
• Index tracking with utility enhanced weighting
• Empirical examination of fundamental indexation in the German market
• scientific article; zbMATH DE number 5879523 (Why is no real title available?)
• Computational Science – ICCS 2005
• Liquidity-constrained index tracking optimization models
• Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints
• Index tracking via reparameterizable subset sampling in neural networks

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• OR-Library

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