Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
DOI10.1016/J.EJOR.2013.09.006zbMATH Open1304.91177OpenAlexW1973222958MaRDI QIDQ2514729FDOQ2514729
Authors: Kostas Andriosopoulos, Nikos K. Nomikos 
Publication date: 3 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.09.006
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Cited In (11)
- Heuristic methods for stock selection and allocation in an index tracking problem
- Evaluating the dynamic performance of energy portfolios: empirical evidence from the DEA directional distance function
- Index tracking through deep latent representation learning
- A two-stage approach to the UCITS-constrained index-tracking problem
- Optimal construction and rebalancing of index-tracking portfolios
- An enhanced GRASP approach for the index tracking problem
- Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics
- Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
- Local Gaussian correlations in financial and commodity markets
- Myopic robust index tracking with Bregman divergence
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