Differential evolution and combinatorial search for constrained index-tracking

DOI10.1007/s10479-009-0552-1zbMath1183.91167MaRDI QIDQ2267300

Sandra Paterlini, Stefan Mittnik, Thiemo Krink

Publication date: 1 March 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://155.185.68.2/CefinPaper/CEFIN-WP16.pdf

zbMATH Keywords

differential evolution; combinatorial search; index-tracking; passive asset management

Mathematics Subject Classification ID

90C59: Approximation methods and heuristics in mathematical programming

91G10: Portfolio theory

91G99: Actuarial science and mathematical finance

Related Items

Cardinality versusq-norm constraints for index tracking, Private labels and retail assortment planning: a differential evolution approach, A mixed 0--1 LP for index tracking problem with CVaR risk constraints, Differential evolution and combinatorial search for constrained index-tracking, Exact and heuristic approaches for the index tracking problem with UCITS constraints, Index tracking with fixed and variable transaction costs, Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimization by Simulated Annealing
• Differential evolution and particle swarm optimisation in partitional clustering
• Using differential evolution to improve the accuracy of bank rating systems
• Global optimization of higher order moments in portfolio selection
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• An evolutionary heuristic for the index tracking problem.
• Differential evolution and combinatorial search for constrained index-tracking