Exact and heuristic approaches for the index tracking problem with UCITS constraints
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Publication:2393352
DOI10.1007/S10479-012-1207-1zbMATH Open1269.91080OpenAlexW3125238896MaRDI QIDQ2393352FDOQ2393352
Thiemo Krink, Fabio Tardella, Sandra Paterlini, Andrea Scozzari
Publication date: 7 August 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-012-1207-1
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Cited In (12)
- A linear risk-return model for enhanced indexation in portfolio optimization
- Liquidity-constrained index tracking optimization models
- An optimisation approach to constructing an exchange-traded fund
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- 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
- Penalized enhanced portfolio replication with asymmetric deviation measures
- A two-stage approach to the UCITS-constrained index-tracking problem
- High-dimensional index tracking based on the adaptive elastic net
- An enhanced GRASP approach for the index tracking problem
- 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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