Cardinality versus q-norm constraints for index tracking
From MaRDI portal
Publication:5247282
DOI10.1080/14697688.2012.691986zbMATH Open1402.91689OpenAlexW3122675629MaRDI QIDQ5247282FDOQ5247282
Authors: Björn Fastrich, Sandra Paterlini, Peter Winker 
Publication date: 23 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.691986
Recommendations
- 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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Optimization by simulated annealing
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- An evolutionary heuristic for the index tracking problem.
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Portfolio optimization with linear and fixed transaction costs
- Sparse and stable Markowitz portfolios
- Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- Portfolio management with heuristic optimization.
- Robust portfolio optimization with a hybrid heuristic algorithm
- Differential evolution and combinatorial search for constrained index-tracking
Cited In (24)
- Constructing optimal sparse portfolios using regularization methods
- Penalty method for the sparse portfolio optimization problem
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
- Algorithms for \(l_{1}\)-norm minimisation of index tracking error and their performance
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- An index tracking model with stratified sampling and optimal allocation
- Tracking hedge funds returns using sparse clones
- Sparse index clones via the sorted \(\ell_1\)-norm
- Nonconvex multi-period mean-variance portfolio optimization
- Minimizing the tracking error of cardinality constrained portfolios
- High-dimensional index tracking based on the adaptive elastic net
- An enhanced GRASP approach for the index tracking problem
- Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint
- Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Adaptive projected gradient thresholding methods for constrained \(l_0\) problems
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
- A Smoothing Active Set Method for Linearly Constrained Non-Lipschitz Nonconvex Optimization
- Un-diversifying during crises: is it a good idea?
- A sparse chance constrained portfolio selection model with multiple constraints
- Genetic algorithm versus classical methods in sparse index tracking
- ETF basket-adjusted covariance estimation
- Robust and sparse portfolio model for index tracking
This page was built for publication: Cardinality versus \(q\)-norm constraints for index tracking
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5247282)
