An index tracking model with stratified sampling and optimal allocation

DOI10.1002/ASMB.2287MaRDI QIDQ4627146zbMATH OpenOpenAlexFDO

Authors Meihua Wang, Feng-Min Xu, Yuhong Dai

Publication date 7 March 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2287

zbMATH Keywords

index trackingout-of-sample performances-rar crossoverstratified hybrid genetic algorithmstratified sampling

Mathematics Subject Classification ID

Mixed integer programming (90C11) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Portfolio theory (91G10)

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Cites work

• A hybrid approach for index tracking with practical constraints
• A hybrid optimization approach to index tracking
• A methodology for index tracking based on time-series clustering
• A Problem in Optimum Allocation
• An efficient optimization approach for a cardinality-constrained index tracking problem
• An evolutionary heuristic for the index tracking problem.
• Cardinality versus \(q\)-norm constraints for index tracking
• Fast integer-valued algorithms for optimal allocations under constraints in stratified sampling
• Linear programming models based on omega ratio for the enhanced index tracking problem
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Nonlinear integer programming for optimal allocation in stratified sampling
• Nonnegative elastic net and application in index tracking
• Nonnegative-Lasso and application in index tracking
• Optimization problems with cardinality constraints
• Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios

Cited in

(7)

• scientific article; zbMATH DE number 1313345 (Why is no real title available?)
• An empirical study of index replication method based on genetic algorithm
• Computational Science – ICCS 2005
• A bi‐level programming framework for identifying optimal parameters in portfolio selection
• An enhanced GRASP approach for the index tracking problem
• Network-based index tracking using asset dependency structures
• Nonnegative group Lasso and application in index tracking

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