Index tracking with fixed and variable transaction costs

DOI10.1007/S11590-012-0534-0MaRDI QIDQ2439491zbMATH OpenOpenAlexFDO

Authors H. Mezali, J. E. Beasley

Publication date 14 March 2014

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11590-012-0534-0

zbMATH Keywords

index trackingtransaction cost

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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Cites work

• A hybrid optimization approach to index tracking
• An evolutionary heuristic for the index tracking problem.
• Bicriteria Optimization Problem of Designing an Index Fund
• Constrained Index Tracking under Loss Aversion Using Differential Evolution
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Differential evolution and combinatorial search for constrained index-tracking
• Kernel search: a general heuristic for the multi-dimensional knapsack problem
• Kernel search: a new heuristic framework for portfolio selection
• Kernel search: an application to the index tracking problem
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Robust portfolio selection for index tracking
• The curvature of the tracking frontier: a new criterion for the partial index tracking problem

Cited in

(15)

• Computational Science – ICCS 2005
• Optimal construction and rebalancing of index-tracking portfolios
• A comparison of transaction costs on Xetra and on Nasdaq
• A two-stage stochastic mixed-integer programming approach to the index tracking problem
• Cardinality minimization, constraints, and regularization: a survey
• Solving the index tracking problem: a continuous optimization approach
• The curvature of the tracking frontier: a new criterion for the partial index tracking problem
• Dynamic index tracking and risk exposure control using derivatives
• MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
• Polynomial goal programming and particle swarm optimization for enhanced indexation
• Economic tracking portfolios
• Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
• Index-plus-alpha tracking under concave transaction cost
• scientific article; zbMATH DE number 165316 (Why is no real title available?)
• An evolutionary heuristic for the index tracking problem.

Describes a project that uses

Uses Software

• CPLEX
• OR-Library

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