Exact and heuristic approaches for the index tracking problem with UCITS constraints
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Cites work
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- scientific article; zbMATH DE number 3497315 (Why is no real title available?)
- scientific article; zbMATH DE number 3240118 (Why is no real title available?)
- A downside risk analysis based on financial index tracking models
- A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
- A hybrid optimization approach to index tracking
- An evolutionary heuristic for the index tracking problem.
- Cardinality versus \(q\)-norm constraints for index tracking
- Computational Science – ICCS 2005
- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- Differential evolution and combinatorial search for constrained index-tracking
- Differential evolution and particle swarm optimisation in partitional clustering
- Heuristic optimisation in financial modelling
- Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
- 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
- Optimization by simulated annealing
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- Portfolio optimization with linear and fixed transaction costs
- Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
- Tracking error: a multistage portfolio model
Cited in
(16)- A linear risk-return model for enhanced indexation in portfolio optimization
- Robust sparse portfolios for index tracking based on M-estimation
- Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- An optimisation approach to constructing an exchange-traded fund
- Liquidity-constrained index tracking optimization models
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints
- A two-stage approach to the UCITS-constrained index-tracking problem
- Penalized enhanced portfolio replication with asymmetric deviation measures
- High-dimensional index tracking based on the adaptive elastic net
- An enhanced GRASP approach for the index tracking problem
- Enhancing index-tracking performance: leveraging characteristic-based factor models for reduced estimation errors
- An exact algorithm for a cardinality-constrained index tracking model considering investment preferences in portfolio optimization
- Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
- Sparse index tracking using sequential Monte Carlo
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