A hybrid optimization approach to index tracking
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Publication:1026552
DOI10.1007/S10479-008-0404-4zbMATH Open1163.91421OpenAlexW1988871589MaRDI QIDQ1026552FDOQ1026552
Authors: Rubén Ruiz-Torrubiano, Alberto Suárez 
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
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Cites Work
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Cited In (40)
- Solving the index tracking problem: a continuous optimization approach
- A sparse enhanced indexation model with chance and cardinality constraints
- Efficient projected gradient methods for cardinality constrained optimization
- The curvature of the tracking frontier: a new criterion for the partial index tracking problem
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
- 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
- An index tracking model with stratified sampling and optimal allocation
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- An empirical study of index replication method based on genetic algorithm
- Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints
- A hybrid approach for index tracking with practical constraints
- Title not available (Why is that?)
- Title not available (Why is that?)
- A two-stage approach to the UCITS-constrained index-tracking problem
- A simulation study on the hybrid nature of Tango's index
- An evolutionary heuristic for the index tracking problem.
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- Minimizing the tracking error of cardinality constrained portfolios
- High-dimensional index tracking based on the adaptive elastic net
- An enhanced GRASP approach for the index tracking problem
- Quadratic hedging for sequential claims with random weights in discrete time
- Title not available (Why is that?)
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Linear programming models based on omega ratio for the enhanced index tracking problem
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Adaptive projected gradient thresholding methods for constrained \(l_0\) problems
- Index tracking with fixed and variable transaction costs
- Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
- Sparse index tracking using sequential Monte Carlo
- On cutting planes for cardinality-constrained linear programs
- Index Fund Optimization Using Genetic Algorithm and Scatter Diagram Based on Coefficients of Determination
- Selection of balanced portfolios to track the main properties of a large market
- Genetic algorithm versus classical methods in sparse index tracking
- A mixed 0--1 LP for index tracking problem with CVaR risk constraints
- Title not available (Why is that?)
- Group sparse enhanced indexation model with adaptive beta value
- Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
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