Minimizing the tracking error of cardinality constrained portfolios
DOI10.1016/J.COR.2017.09.002zbMATH Open1391.90434OpenAlexW2753542811MaRDI QIDQ1652503FDOQ1652503
Authors: Purity Mutunge, Dag Haugland 
Publication date: 11 July 2018
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2017.09.002
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Quadratic programming (90C20) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Integer programming (90C10) Mixed integer programming (90C11) Financial applications of other theories (91G80)
Cites Work
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- A well-conditioned estimator for large-dimensional covariance matrices
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- An evolutionary heuristic for the index tracking problem.
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- Heuristic algorithms for the cardinality constrained efficient frontier
- A new method for mean-variance portfolio optimization with cardinality constraints
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- Heuristics for cardinality constrained portfolio optimization
- A hybrid optimization approach to index tracking
- On approximation properties of the independent set problem for low degree graphs
Cited In (14)
- Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
- A unifying framework for sparsity-constrained optimization
- Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
- On a local-search heuristic for a class of tracking error minimization problems in portfolio management
- Index tracking through deep latent representation learning
- Risk-allocation-based index tracking
- A two-stage approach to the UCITS-constrained index-tracking problem
- An omega portfolio model with dynamic return thresholds
- An enhanced GRASP approach for the index tracking problem
- Fast methods for the index tracking problem
- Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Designing proxies for stock market indices is computationally hard
- Cardinality versus \(q\)-norm constraints for index tracking
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