Constrained Index Tracking under Loss Aversion Using Differential Evolution

DOI10.1007/978-3-540-77477-8_2MaRDI QIDQ3521761zbMATH OpenOpenAlexFDO

Authors Dietmar G. Maringer

Publication date 26 August 2008

Published in Natural Computing in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-77477-8_2

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Economic time series analysis (91B84)

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(9)

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• Polynomial goal programming and particle swarm optimization for enhanced indexation
• Differential evolution and combinatorial search for constrained index-tracking
• Index tracking with fixed and variable transaction costs
• Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
• Index mutual fund replication
• On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
• Penalized enhanced portfolio replication with asymmetric deviation measures
• A stochastic receding horizon control approach to constrained index tracking

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