Optimal construction and rebalancing of index-tracking portfolios

DOI10.1016/j.ejor.2017.06.055zbMath1380.91127OpenAlexW2729805127MaRDI QIDQ1694362

Peng Zhang

Publication date: 1 February 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.06.055

zbMATH Keywords

financemixed-integer linear programmingindex trackingrebalancing

Mathematics Subject Classification ID

Mixed integer programming (90C11) Linear programming (90C05) Portfolio theory (91G10)

Related Items (11)

A two-stage approach to the UCITS-constrained index-tracking problem ⋮ Polynomial goal programming and particle swarm optimization for enhanced indexation ⋮ Myopic robust index tracking with Bregman divergence ⋮ Solving the index tracking problem: a continuous optimization approach ⋮ Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm ⋮ An omega portfolio model with dynamic return thresholds ⋮ Heuristic methods for stock selection and allocation in an index tracking problem ⋮ Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models ⋮ Index tracking through deep latent representation learning ⋮ Optimal Tracking Portfolio with a Ratcheting Capital Benchmark ⋮ A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions

Uses Software

• OR-Library

Cites Work

• Linear programming models based on omega ratio for the enhanced index tracking problem
• Kernel search: an application to the index tracking problem
• Optimal portfolio selection and dynamic benchmark tracking
• Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
• Factor neutral portfolios
• On the effectiveness of scenario generation techniques in single-period portfolio optimization
• Mean-VaR portfolio optimization: a nonparametric approach
• An evolutionary heuristic for the index tracking problem.
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
• MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS

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