Optimal construction and rebalancing of index-tracking portfolios
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Publication:1694362
DOI10.1016/j.ejor.2017.06.055zbMath1380.91127OpenAlexW2729805127MaRDI QIDQ1694362
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
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
Cites Work
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