A hybrid optimization approach to index tracking

DOI10.1007/s10479-008-0404-4zbMath1163.91421MaRDI QIDQ1026552

Alberto Suárez, Rubén Ruiz-Torrubiano

Publication date: 25 June 2009

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0404-4

zbMATH Keywords

data mining; asset management; financial modeling

Mathematics Subject Classification ID

68P10: Searching and sorting

90C20: Quadratic programming

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Uses Software

• OR-Library

Cites Work

• An evolutionary heuristic for the index tracking problem.
• Portfolio optimization with linear and fixed transaction costs
• Optimal Index Tracking Under Transaction Costs and Impulse Control
• Optimal hedging using cointegration
• Integrated simulation and optimization models for tracking international fixed income indices
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