Index tracking through deep latent representation learning

DOI10.1080/14697688.2019.1683599zbMath1466.91292OpenAlexW2984115284WikidataQ126784990 ScholiaQ126784990MaRDI QIDQ4991048

Soong Kee Kim, Saejoon Kim

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1683599

zbMATH Keywords

index trackingdeep learningstacked autoencoderdeep autoencoderindex replication

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Portfolio theory (91G10)

Related Items (3)

A flexible predictive density combination for large financial data sets in regular and crisis periods ⋮ Heuristic methods for stock selection and allocation in an index tracking problem ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach

Uses Software

• PyTorch
• Adam

Cites Work

• Kernel search: an application to the index tracking problem
• Optimal portfolio selection and dynamic benchmark tracking
• Portfolio selection using neural networks
• Heuristics for cardinality constrained portfolio optimization
• Minimizing the tracking error of cardinality constrained portfolios
• Optimal construction and rebalancing of index-tracking portfolios
• Robust portfolio selection for index tracking
• An evolutionary heuristic for the index tracking problem.
• Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
• Deep learning for finance: deep portfolios
• Enhancing the momentum strategy through deep regression

This page was built for publication: Index tracking through deep latent representation learning