Differential evolution and combinatorial search for constrained index-tracking
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Cites work
- An evolutionary heuristic for the index tracking problem.
- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- Differential evolution and combinatorial search for constrained index-tracking
- Differential evolution and particle swarm optimisation in partitional clustering
- Global optimization of higher order moments in portfolio selection
- scientific article; zbMATH DE number 2130220 (Why is no real title available?)
- scientific article; zbMATH DE number 3497315 (Why is no real title available?)
- scientific article; zbMATH DE number 1836443 (Why is no real title available?)
- scientific article; zbMATH DE number 3240118 (Why is no real title available?)
- Optimization by simulated annealing
- Using differential evolution to improve the accuracy of bank rating systems
Cited in
(24)- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- A two-stage approach to the UCITS-constrained index-tracking problem
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- Genetic algorithm versus classical methods in sparse index tracking
- A mixed 0--1 LP for index tracking problem with CVaR risk constraints
- Polynomial goal programming and particle swarm optimization for enhanced indexation
- Differential evolution and combinatorial search for constrained index-tracking
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- 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
- Solving the index tracking problem: a continuous optimization approach
- Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach
- Evolutionary computation for modelling and optimization in finance
- Constrained Index Tracking under Loss Aversion Using Differential Evolution
- Relative position indexing approach
- Sparse index tracking using sequential Monte Carlo
- Sparse index clones via the sorted \(\ell_1\)-norm
- Private labels and retail assortment planning: a differential evolution approach
- High-dimensional index tracking based on the adaptive elastic net
- Cardinality versus \(q\)-norm constraints for index tracking
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- Liquidity-constrained index tracking optimization models
- Penalized enhanced portfolio replication with asymmetric deviation measures
- Enhancing index-tracking performance: leveraging characteristic-based factor models for reduced estimation errors
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