Heuristic methods for stock selection and allocation in an index tracking problem

DOI10.3233/AF-200367zbMath1498.91389OpenAlexW3195634438MaRDI QIDQ5106286

Codruę Florin Ivaşcu

Publication date: 16 September 2022

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

Full work available at URL: https://doi.org/10.3233/af-200367

zbMATH Keywords

machine learningindex trackingpartial replicationstocks selection

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Uses Software

• XGBoost

Cites Work

• Unnamed Item
• Bagging predictors
• Optimal construction and rebalancing of index-tracking portfolios
• 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
• Stability Selection
• Index tracking through deep latent representation learning
• Learning representations by back-propagating errors
• A logical calculus of the ideas immanent in nervous activity
• Random forests