Mixed-integer programming approaches for index tracking and enhanced indexation
From MaRDI portal
Recommendations
- A two-stage stochastic mixed-integer programming approach to the index tracking problem
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Solving the index tracking problem: a continuous optimization approach
- A hybrid optimization approach to index tracking
- Fast methods for the index tracking problem
- A hybrid approach for index tracking with practical constraints
- scientific article; zbMATH DE number 1894374
- Incremental and encoding formulations for mixed integer programming
Cites work
- A downside risk analysis based on financial index tracking models
- A methodology for index tracking based on time-series clustering
- An evolutionary heuristic for the index tracking problem.
- Computational Science – ICCS 2005
- Hedging diffusion processes by local risk minimization with applications to index tracking
- scientific article; zbMATH DE number 1836443 (Why is no real title available?)
- Index-plus-alpha tracking under concave transaction cost
- Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
- Optimal hedging using cointegration
- Optimal portfolio selection and dynamic benchmark tracking
- Tracking a Financial Benchmark Using a Few Assets
Cited in
(78)- A hybrid optimization approach to index tracking
- Multiobjective portfolio optimization: bridging mathematical theory with asset management practice
- A two-stage approach to the UCITS-constrained index-tracking problem
- Minimizing the tracking error of cardinality constrained portfolios
- Index tracking model, downside risk and non-parametric kernel estimation
- On coherent risk measures induced by convex risk measures
- 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
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- On exact and approximate stochastic dominance strategies for portfolio selection
- Applying time series decomposition to construct index-tracking portfolio
- A mixed 0--1 LP for index tracking problem with CVaR risk constraints
- Robust portfolio selection for index tracking
- A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions
- Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time
- Polynomial goal programming and particle swarm optimization for enhanced indexation
- Equally weighted cardinality constrained portfolio selection via factor models
- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
- Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
- Enhanced indexing using weighted conditional value at risk
- An optimisation approach to constructing an exchange-traded fund
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- A new method for mean-variance portfolio optimization with cardinality constraints
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- Factor-based robust index tracking
- A hybrid approach for index tracking with practical constraints
- Index tracking with fixed and variable transaction costs
- Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
- A linear risk-return model for enhanced indexation in portfolio optimization
- Enhanced indexation based on second-order stochastic dominance
- Solving the index tracking problem: a continuous optimization approach
- Robustness to dependency in portfolio optimization using overlapping marginals
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Sparse and robust normal and t-portfolios by penalized L_q-likelihood minimization
- Linear programming models based on omega ratio for the enhanced index tracking problem
- A two-stage stochastic mixed-integer programming approach to the index tracking problem
- Kernel search: an application to the index tracking problem
- An index tracking model with stratified sampling and optimal allocation
- Selection of balanced portfolios to track the main properties of a large market
- On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
- Fast methods for the index tracking problem
- Game Theoretical Approach for Reliable Enhanced Indexation
- Market neutral portfolios
- Sparse index tracking using sequential Monte Carlo
- Group sparse enhanced indexation model with adaptive beta value
- Myopic robust index tracking with Bregman divergence
- Sparse index clones via the sorted \(\ell_1\)-norm
- High-dimensional index tracking based on the adaptive elastic net
- Index tracking with utility enhanced weighting
- Enhanced index tracking model with entropy maximization
- Support vector regression for time series analysis
- Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500
- Cardinality versus \(q\)-norm constraints for index tracking
- A penalty PALM method for sparse portfolio selection problems
- Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
- Multicriteria security evaluation: does it cost to be traditional?
- An enhanced GRASP approach for the index tracking problem
- Liquidity-constrained index tracking optimization models
- Risk-allocation-based index tracking
- Time-weighted nonnegative bridge index-tracking model and its application
- Concentrated portfolio selection models based on historical data
- Deep learning for enhanced index tracking
- Penalized enhanced portfolio replication with asymmetric deviation measures
- Constrained mix sparse optimization via hard thresholding pursuit
- 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
- Macroscopic properties of equity markets: stylized facts and portfolio performance
- Sparse portfolio selection via topological data analysis based clustering
- Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization
- A novel sigma-mu multiple criteria decision aiding approach for mutual funds portfolio selection
- On the integration of multiple criteria decision aiding and forecasting: does it create value in portfolio selection?
- An inexact proximal DC algorithm for the large-scale cardinality constrained mean-variance model in sparse portfolio selection
- Enhancing index-tracking performance: leveraging characteristic-based factor models for reduced estimation errors
- Enhanced indexation using both equity assets and index options
- A sparse chance constrained portfolio selection model with multiple constraints
- Enhanced index tracking with CVaR-based ratio measures
This page was built for publication: Mixed-integer programming approaches for index tracking and enhanced indexation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2378489)
