A hybrid optimization approach to index tracking
From MaRDI portal
Publication:1026552
Recommendations
- A hybrid approach for index tracking with practical constraints
- Solving the index tracking problem: a continuous optimization approach
- Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
- Mean-risk optimization for index tracking
- A method for robust index tracking
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Fast methods for the index tracking problem
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
Cites work
- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- scientific article; zbMATH DE number 3497315 (Why is no real title available?)
- scientific article; zbMATH DE number 1836443 (Why is no real title available?)
- An evolutionary heuristic for the index tracking problem.
- Integrated simulation and optimization models for tracking international fixed income indices
- Optimal Index Tracking Under Transaction Costs and Impulse Control
- Optimal hedging using cointegration
- Portfolio optimization with linear and fixed transaction costs
Cited in
(40)- A sparse enhanced indexation model with chance and cardinality constraints
- Solving the index tracking problem: a continuous optimization approach
- 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
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- An index tracking model with stratified sampling and optimal allocation
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- 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
- scientific article; zbMATH DE number 1836443 (Why is no real title available?)
- scientific article; zbMATH DE number 1313345 (Why is no real title available?)
- A two-stage approach to the UCITS-constrained index-tracking problem
- An evolutionary heuristic for the index tracking problem.
- A simulation study on the hybrid nature of Tango's index
- Minimizing the tracking error of cardinality constrained portfolios
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- 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
- Linear programming models based on omega ratio for the enhanced index tracking problem
- scientific article; zbMATH DE number 5879523 (Why is no real title available?)
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- An efficient optimization approach for a cardinality-constrained index tracking problem
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- 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
- scientific article; zbMATH DE number 165316 (Why is no real title available?)
- 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
This page was built for publication: A hybrid optimization approach to index tracking
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1026552)
