Enhanced index tracking model with entropy maximization
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Cites work
- A fuzzy approach to portfolio selection
- A new higher moment portfolio optimisation model with conditional value at risk
- An evolutionary heuristic for the index tracking problem.
- Ising model of financial markets with many assets
- Kernel search: an application to the index tracking problem
- Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Multi-objective mean-variance-skewness model for portfolio optimization
- Optimal Portfolio Diversification Using the Maximum Entropy Principle
Cited in
(4)- Applying time series decomposition to construct index-tracking portfolio
- A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions
- Index tracking with utility enhanced weighting
- Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
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