Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
DOI10.1007/S10479-016-2111-XzbMATH Open1377.91152OpenAlexW2273357186MaRDI QIDQ1686536FDOQ1686536
Leonardo Riegel Sant'Anna, Pablo Cristini Guedes, Tiago P. Filomena, Denis Borenstein
Publication date: 15 December 2017
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-016-2111-x
Approximation methods and heuristics in mathematical programming (90C59) Nonlinear programming (90C30) Portfolio theory (91G10)
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Cited In (10)
- Dynamic CVaR portfolio construction with attention-powered generative factor learning
- Enhanced index tracking with CVaR-based ratio measures
- Solving the index tracking problem: a continuous optimization approach
- Liquidity-constrained index tracking optimization models
- Risk-allocation-based index tracking
- Penalized enhanced portfolio replication with asymmetric deviation measures
- A two-stage approach to the UCITS-constrained index-tracking problem
- An enhanced GRASP approach for the index tracking problem
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- A hybrid optimization approach to index tracking
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