Minimizing the tracking error of cardinality constrained portfolios

DOI10.1016/J.COR.2017.09.002MaRDI QIDQ1652503zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

heuristicsindex trackingportfolio managementinteger quadratic programming

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3639144 (Why is no real title available?)
• A hybrid optimization approach to index tracking
• A new method for mean-variance portfolio optimization with cardinality constraints
• A well-conditioned estimator for large-dimensional covariance matrices
• An evolutionary heuristic for the index tracking problem.
• Computational study of a family of mixed-integer quadratic programming problems
• Heuristic algorithms for the cardinality constrained efficient frontier
• Heuristics for cardinality constrained portfolio optimization
• Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
• OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
• On approximation properties of the independent set problem for low degree graphs
• Reorthogonalization and Stable Algorithms for Updating the Gram-Schmidt QR Factorization

Cited in

(14)

• Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
• 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
• A unifying framework for sparsity-constrained optimization
• 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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Uses Software

• OR-Library

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