Risk-allocation-based index tracking (Q6164597)

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scientific article; zbMATH DE number 7706727

Language	Label	Description	Also known as
English	Risk-allocation-based index tracking	scientific article; zbMATH DE number 7706727

Statements

scholarly article

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Risk-allocation-based index tracking (English)

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Computers \& Operations Research

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publication date

4 July 2023

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zbMATH Keywords

index tracking

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risk contributions

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cardinality-constrained portfolio optimization

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non-convex MIP

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heuristics

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cor.2023.106219

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Cardinality-constrained risk parity portfolios

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Least-squares approach to risk parity in portfolio selection

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An evolutionary heuristic for the index tracking problem.

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Sparse Portfolios for High-Dimensional Financial Index Tracking

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Julia: A Fresh Approach to Numerical Computing

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Mixed-integer programming approaches for index tracking and enhanced indexation

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Heuristics for cardinality constrained portfolio optimization

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Generalized risk parity portfolio optimization: an ADMM approach

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Simulated annealing for complex portfolio selection problems.

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JuMP: A Modeling Language for Mathematical Optimization

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Global solution of non-convex quadratically constrained quadratic programs

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SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design

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A methodology for index tracking based on time-series clustering

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Optimal portfolio selection and dynamic benchmark tracking

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Index tracking and enhanced indexing using mixed conditional value-at-risk

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Linear programming models based on omega ratio for the enhanced index tracking problem

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Enhanced index tracking with CVaR-based ratio measures

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Index tracking model, downside risk and non-parametric kernel estimation

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Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization

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Factor-based robust index tracking

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Minimizing the tracking error of cardinality constrained portfolios

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

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On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming

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

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Nonnegative elastic net and application in index tracking

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Nonnegative-Lasso and application in index tracking

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

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Identifiers

10.1016/j.cor.2023.106219

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6164597

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