Sparse index tracking using sequential Monte Carlo

DOI10.1080/14697688.2022.2057353zbMATH Open1498.91498OpenAlexW4229061303MaRDI QIDQ5039622FDOQ5039622

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

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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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Cited In (1)

• Sequential Monte Carlo optimization and statistical inference

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