Kernel search: an application to the index tracking problem
From MaRDI portal
Recommendations
Cites work
- An evolutionary heuristic for the index tracking problem.
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Heuristic algorithms for the cardinality constrained efficient frontier
- scientific article; zbMATH DE number 1836443 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- Hybrid metaheuristics for constrained portfolio selection problems
- Index-plus-alpha tracking under concave transaction cost
- Integrated simulation and optimization models for tracking international fixed income indices
- Kernel search: a general heuristic for the multi-dimensional knapsack problem
- Kernel search: a new heuristic framework for portfolio selection
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
- Metaheuristics for the portfolio selection problem
- MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
- Mixed-integer programming approaches for index tracking and enhanced indexation
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
Cited in
(52)- A two-stage approach to the UCITS-constrained index-tracking problem
- MIP neighborhood synthesis through semantic feature extraction and automatic algorithm configuration
- Index tracking model, downside risk and non-parametric kernel estimation
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- Optimal construction and rebalancing of index-tracking portfolios
- Adaptive kernel search: a heuristic for solving mixed integer linear programs
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- An efficient heuristic algorithm for the alternative-fuel station location problem
- On exact and approximate stochastic dominance strategies for portfolio selection
- A comparative analysis of two matheuristics by means of merged local optima networks
- A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions
- Polynomial goal programming and particle swarm optimization for enhanced indexation
- RAMP algorithms for the capacitated facility location problem
- Dealing with complex transaction costs in portfolio management
- Enhanced indexing using weighted conditional value at risk
- An optimisation approach to constructing an exchange-traded fund
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- Index tracking with fixed and variable transaction costs
- A linear risk-return model for enhanced indexation in portfolio optimization
- A kernel search heuristic for a fair facility location problem
- Optimal selection of touristic packages based on user preferences during sports mega-events
- On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
- Solving the index tracking problem: a continuous optimization approach
- A heuristic for BILP problems: the single source capacitated facility location problem
- A hybrid heuristic approach for the multi-commodity pickup-and-delivery traveling salesman problem
- Linear programming models based on omega ratio for the enhanced index tracking problem
- Kernel search: a new heuristic framework for portfolio selection
- Fast methods for the index tracking problem
- Index tracking through deep latent representation learning
- Group sparse enhanced indexation model with adaptive beta value
- Myopic robust index tracking with Bregman divergence
- High-dimensional index tracking based on the adaptive elastic net
- Enhanced index tracking model with entropy maximization
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization
- Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
- Robust enhanced indexation optimization with sparse industry Layout constraint
- An enhanced GRASP approach for the index tracking problem
- Electric aircraft charging network design for regional routes: a novel mathematical formulation and kernel search heuristic
- Sparse recovery under nonnegativity and sum-to-one constraints
- Deep learning for enhanced index tracking
- Index tracking via reparameterizable subset sampling in neural networks
- A sparse enhanced indexation model with chance and cardinality constraints
- Network-based index tracking using asset dependency structures
- Hybridizing carousel greedy and kernel search: a new approach for the maximum flow problem with conflict constraints
- Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization
- Augmented patterns for decomposition of scheduling and assignment problems
- Contemporary approaches in matheuristics an updated survey
- Projected gradient descent method for cardinality-constrained portfolio optimization
- Enhancing index-tracking performance: leveraging characteristic-based factor models for reduced estimation errors
- Enhanced indexation using both equity assets and index options
- Enhanced index tracking with CVaR-based ratio measures
This page was built for publication: Kernel search: an application to the index tracking problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q439324)
