Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming

DOI10.1007/S10479-016-2111-XMaRDI QIDQ1686536zbMATH OpenOpenAlexFDO

Authors Leonardo Riegel Sant'Anna, Tiago P. Filomena, Pablo Cristini Guedes, 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

zbMATH Keywords

genetic algorithmindex trackingportfolio optimization

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Nonlinear programming (90C30) Portfolio theory (91G10)

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Cites work

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• A local relaxation method for the cardinality constrained portfolio optimization problem
• An evolutionary heuristic for the index tracking problem.
• Differential evolution and combinatorial search for constrained index-tracking
• Exact and heuristic approaches for the index tracking problem with UCITS constraints
• Heuristic optimisation in financial modelling
• Integrated simulation and optimization models for tracking international fixed income indices
• Kernel search: a new heuristic framework for portfolio selection
• Kernel search: an application to the index tracking problem
• MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
• Mixed-integer programming approaches for index tracking and enhanced indexation
• On a local-search heuristic for a class of tracking error minimization problems in portfolio management
• Optimal portfolio selection and dynamic benchmark tracking
• Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
• Tracking error: a multistage portfolio model
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs

Cited in

(12)

• Enhanced index tracking with CVaR-based ratio measures
• Dynamic CVaR portfolio construction with attention-powered generative factor learning
• Solving the index tracking problem: a continuous optimization approach
• Liquidity-constrained index tracking optimization models
• An empirical study of index replication method based on genetic algorithm
• Risk-allocation-based index tracking
• A two-stage approach to the UCITS-constrained index-tracking problem
• Penalized enhanced portfolio replication with asymmetric deviation measures
• 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
• Genetic algorithm versus classical methods in sparse index tracking

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