Cardinality versus q-norm constraints for index tracking
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- An efficient optimization approach for a cardinality-constrained index tracking problem
- Algorithms for \(l_{1}\)-norm minimisation of index tracking error and their performance
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
- A hybrid approach for index tracking with practical constraints
- Minimizing the tracking error of cardinality constrained portfolios
Cites work
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- An evolutionary heuristic for the index tracking problem.
- Differential evolution and combinatorial search for constrained index-tracking
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Optimization by simulated annealing
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- Portfolio management with heuristic optimization.
- Portfolio optimization with linear and fixed transaction costs
- Robust portfolio optimization with a hybrid heuristic algorithm
- Sparse and stable Markowitz portfolios
- Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
Cited in
(27)- Tracking hedge funds returns using sparse clones
- Minimizing the tracking error of cardinality constrained portfolios
- Genetic algorithm versus classical methods in sparse index tracking
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
- Algorithms for \(l_{1}\)-norm minimisation of index tracking error and their performance
- Robust and sparse portfolio model for index tracking
- Un-diversifying during crises: is it a good idea?
- Constructing optimal sparse portfolios using regularization methods
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Sparse and robust normal and t-portfolios by penalized L_q-likelihood minimization
- An index tracking model with stratified sampling and optimal allocation
- Sparse index clones via the sorted \(\ell_1\)-norm
- High-dimensional index tracking based on the adaptive elastic net
- A Smoothing Active Set Method for Linearly Constrained Non-Lipschitz Nonconvex Optimization
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- ETF basket-adjusted covariance estimation
- Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint
- An enhanced GRASP approach for the index tracking problem
- Penalty method for the sparse portfolio optimization problem
- Nonconvex multi-period mean-variance portfolio optimization
- Robust and sparse pca for high-dimensional data via Huber loss and non-convex regularization
- Sparse portfolio selection via topological data analysis based clustering
- Joint estimation of transfer learning on time series data
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
- A sparse chance constrained portfolio selection model with multiple constraints
- Adaptive projected gradient thresholding methods for constrained \(l_0\) problems
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