A hybrid optimization approach to index tracking

DOI10.1007/s10479-008-0404-4zbMath1163.91421OpenAlexW1988871589MaRDI 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 miningasset managementfinancial modeling

Mathematics Subject Classification ID

Searching and sorting (68P10) Quadratic programming (90C20)

Related Items

Sparse index tracking using sequential Monte Carlo ⋮ Group sparse enhanced indexation model with adaptive beta value ⋮ A two-stage approach to the UCITS-constrained index-tracking problem ⋮ Minimizing the tracking error of cardinality constrained portfolios ⋮ Exact and heuristic approaches for the index tracking problem with UCITS constraints ⋮ Enhanced indexing for risk averse investors using relaxed second order stochastic dominance ⋮ Quadratic hedging for sequential claims with random weights in discrete time ⋮ Solving the index tracking problem: a continuous optimization approach ⋮ Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming ⋮ High-dimensional sparse index tracking based on a multi-step convex optimization approach ⋮ Adaptive projected gradient thresholding methods for constrained \(l_0\) problems ⋮ A bi‐level programming framework for identifying optimal parameters in portfolio selection ⋮ The curvature of the tracking frontier: a new criterion for the partial index tracking problem ⋮ An enhanced GRASP approach for the index tracking problem ⋮ A hybrid approach for index tracking with practical constraints ⋮ Index tracking with fixed and variable transaction costs ⋮ An index tracking model with stratified sampling and optimal allocation ⋮ High-dimensional index tracking based on the adaptive elastic net ⋮ Efficient projected gradient methods for cardinality constrained optimization ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ A sparse enhanced indexation model with chance and cardinality constraints ⋮ A mixed 0--1 LP for index tracking problem with CVaR risk constraints ⋮ Selection of balanced portfolios to track the main properties of a large market ⋮ Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets ⋮ Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios ⋮ An efficient optimization approach for a cardinality-constrained index tracking problem ⋮ On cutting planes for cardinality-constrained linear programs

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
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A hybrid optimization approach to index tracking