Risk-allocation-based index tracking

DOI10.1016/J.COR.2023.106219MaRDI QIDQ6164597OpenAlexFDO

Authors Hassan T. Anis, Giorgio Costa, Roy H. Kwon

Publication date 4 July 2023

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2023.106219

zbMATH Keywords

heuristicsindex trackingrisk contributionscardinality-constrained portfolio optimizationnon-convex MIP

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Recommendations

• Mean-risk optimization for index tracking
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• Asset allocation with asset-class-based and factor-based risk parity approaches
• Risk-sensitive benchmarked asset management
• Risk-adjusted value allocation for (non-traded) assets with performance ratios
• Factor-based robust index tracking

Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A methodology for index tracking based on time-series clustering
• A mixed 0--1 LP for index tracking problem with CVaR risk constraints
• An efficient optimization approach for a cardinality-constrained index tracking problem
• An evolutionary heuristic for the index tracking problem.
• Cardinality-constrained risk parity portfolios
• Enhanced index tracking with CVaR-based ratio measures
• Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
• Factor-based robust index tracking
• Generalized risk parity portfolio optimization: an ADMM approach
• Global solution of non-convex quadratically constrained quadratic programs
• Heuristics for cardinality constrained portfolio optimization
• Index tracking and enhanced indexing using mixed conditional value-at-risk
• Index tracking model, downside risk and non-parametric kernel estimation
• Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
• Introduction to risk parity and budgeting
• JuMP: a modeling language for mathematical optimization
• Julia: a fresh approach to numerical computing
• Least-squares approach to risk parity in portfolio selection
• Linear programming models based on omega ratio for the enhanced index tracking problem
• Minimizing the tracking error of cardinality constrained portfolios
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Nonnegative elastic net and application in index tracking
• Nonnegative-Lasso and application in index tracking
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Optimal portfolio selection and dynamic benchmark tracking
• SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design
• Simulated annealing for complex portfolio selection problems.
• Sparse Portfolios for High-Dimensional Financial Index Tracking

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