Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets

DOI10.1016/J.EJOR.2013.09.006MaRDI QIDQ2514729zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

index trackingevolutionary algorithmsenergy marketsinternational investmentinternational equities

Mathematics Subject Classification ID

Case-oriented studies in operations research (90B90) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Portfolio theory (91G10)

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Cites work

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• A hybrid optimization approach to index tracking
• A two-stage stochastic mixed-integer programming approach to the index tracking problem
• An evolutionary heuristic for the index tracking problem.
• Constrained Index Tracking under Loss Aversion Using Differential Evolution
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Differential evolution and combinatorial search for constrained index-tracking
• Index mutual fund replication
• Index-plus-alpha tracking under concave transaction cost
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Outline for a Logical Theory of Adaptive Systems
• Robust portfolio selection for index tracking

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
• Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics
• An enhanced GRASP approach for the index tracking problem
• 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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