An enhanced GRASP approach for the index tracking problem (Q6146646)

scientific article; zbMATH DE number 7797336

Language	Label	Description	Also known as
English	An enhanced GRASP approach for the index tracking problem	scientific article; zbMATH DE number 7797336

Statements

instance of

scholarly article

0 references

title

An enhanced GRASP approach for the index tracking problem (English)

0 references

author

Q6146644

0 references

Q6146645

0 references

Adiel Teixeira de Almeida-Filho

0 references

published in

International Transactions in Operational Research

0 references

publication date

31 January 2024

0 references

zbMATH Keywords

GRASP

0 references

index tracking

0 references

heuristic

0 references

portfolio optimization

0 references

genetic algorithm

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking

0 references

Heuristic Solutions to the Facility Location Problem with General Bernoulli Demands

0 references

Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets

0 references

A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost

0 references

Metaheuristics for the work‐troops scheduling problem

0 references

An evolutionary heuristic for the index tracking problem.

0 references

Sparse Portfolios for High-Dimensional Financial Index Tracking

0 references

Mixed-integer programming approaches for index tracking and enhanced indexation

0 references

Heuristics for cardinality constrained portfolio optimization

0 references

Multi-period mean-semivariance portfolio optimization based on uncertain measure

0 references

A GRASP/Path‐Relinking algorithm for the traveling purchaser problem

0 references

2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization

0 references

Cardinality versus<i>q</i>-norm constraints for index tracking

0 references

A probabilistic heuristic for a computationally difficult set covering problem

0 references

Greedy randomized adaptive search procedures

0 references

A Greedy Randomized Adaptive Search Procedure for Maximum Independent Set

0 references

An annotated bibliography of GRASP – Part I: Algorithms

0 references

An annotated bibliography of GRASP-Part II: Applications

0 references

Genetic algorithm versus classical methods in sparse index tracking

0 references

A biased random-key genetic algorithm for the unequal area facility layout problem

0 references

Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms

0 references

Kernel search: an application to the index tracking problem

0 references

Online Risk Monitoring Using Offline Simulation

0 references

A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem

0 references

Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances

0 references

Handbook of Heuristics

0 references

A GRASP with path‐relinking and restarts heuristic for the prize‐collecting generalized minimum spanning tree problem

0 references

Minimizing the tracking error of cardinality constrained portfolios

0 references

Heuristics for the capacitated dispersion problem

0 references

Heuristic and metaheuristic methods for the multi‐skill project scheduling problem with partial preemption

0 references

Restart strategies for GRASP with path-relinking heuristics

0 references

Optimization by GRASP

0 references

A hybrid optimization approach to index tracking

0 references

Flow shop scheduling problem with position-dependent processing times

0 references

Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming

0 references

Exact and heuristic approaches for the index tracking problem with UCITS constraints

0 references

A two-stage stochastic mixed-integer programming approach to the index tracking problem

0 references

A two-stage approach to the UCITS-constrained index-tracking problem

0 references

Large neighborhood search for the bike request scheduling problem

0 references

A simheuristic algorithm for the stochastic permutation flow‐shop problem with delivery dates and cumulative payoffs

0 references

The two‐echelon routing problem with truck and drones

0 references

A mixed 0--1 LP for index tracking problem with CVaR risk constraints

0 references

An index tracking model with stratified sampling and optimal allocation

0 references

An efficient optimization approach for a cardinality-constrained index tracking problem

0 references

Identifiers

DOI

10.1111/itor.13163

0 references

Mathematics Subject Classification ID

90-XX

0 references

zbMATH DE Number

7797336

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6146646