A hybrid approach for index tracking with practical constraints

DOI10.3934/jimo.2014.10.905zbMath1292.65075OpenAlexW2322518793MaRDI QIDQ2438411

Dong-hui Li, Shu-Shang Zhu, Xiao-guang Yang, Ying-Jie Li

Publication date: 11 March 2014

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2014.10.905

zbMATH Keywords

simulated annealingmixed-integer linear programmingindex trackingmixed-integer quadratic programming

Mathematics Subject Classification ID

Mixed integer programming (90C11) Numerical methods for variational inequalities and related problems (65K15)

Related Items

An index tracking model with stratified sampling and optimal allocation

Uses Software

• CPLEX
• OR-Library

Cites Work

• Optimization by Simulated Annealing
• A hybrid optimization approach to index tracking
• A general class of branch-and-bound methods in global optimization with some new approaches for concave minimization
• Simulated annealing: Practice versus theory
• Heuristics for cardinality constrained portfolio optimization
• An evolutionary heuristic for the index tracking problem.
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Mixed-integer programming approaches for index tracking and enhanced indexation
• A General Quadratic Programming Algorithm
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item