A methodology for index tracking based on time-series clustering

DOI10.1080/14697680400008668MaRDI QIDQ4610248zbMATH OpenOpenAlexFDO

Authors Sergio M. Focardi, Frank J. Fabozzi

Publication date 15 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680400008668

zbMATH Keywords

index trackingoptimal tracking portfoliotime-series clustering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• An evolutionary heuristic for the index tracking problem.
• scientific article; zbMATH DE number 3989075 (Why is no real title available?)
• scientific article; zbMATH DE number 1836443 (Why is no real title available?)
• Optimal hedging using cointegration
• Optimal tracking for asset allocation with fixed and proportional transaction costs
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS

Cited in

(16)

• Dynamics of cluster structure in financial correlation matrix
• Applying time series decomposition to construct index-tracking portfolio
• Robust portfolio selection for index tracking
• Topological recognition of critical transitions in time series of cryptocurrencies
• Mixed-integer programming approaches for index tracking and enhanced indexation
• An index tracking model with stratified sampling and optimal allocation
• Selection of balanced portfolios to track the main properties of a large market
• On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
• Index tracking through deep latent representation learning
• A method for robust index tracking
• Forecasting market states
• A bi‐level programming framework for identifying optimal parameters in portfolio selection
• Risk-allocation-based index tracking
• Dynamical study of metallic clusters using the statistical method of time series clustering
• Forecasting portfolio returns with skew-geometric Brownian motions
• Network-based index tracking using asset dependency structures

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