Sparse index tracking using sequential Monte Carlo

DOI10.1080/14697688.2022.2057353MaRDI QIDQ5039622zbMATH OpenOpenAlexFDO

Authors Tanmay Satpathy, Rushabh Shah

Publication date 30 September 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2022.2057353

zbMATH Keywords

sequential Monte Carlo techniquesparse index tracking problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Quadratic programming (90C20) Numerical methods (including Monte Carlo methods) (91G60) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10) Mixed integer programming (90C11)

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
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• Rejoinder: ``Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
• Sequential Monte Carlo Samplers
• Sparse Approximate Solutions to Linear Systems
• Sparse Portfolios for High-Dimensional Financial Index Tracking
• The elements of statistical learning. Data mining, inference, and prediction

Cited in

(7)

• Genetic algorithm versus classical methods in sparse index tracking
• Sequential Monte Carlo optimization and statistical inference
• Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
• Sparse index clones via the sorted \(\ell_1\)-norm
• Index tracking based on sparse-group Lasso
• Index tracking through deep latent representation learning
• A generalized description length approach for sparse and robust index tracking

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