Risk-allocation-based index tracking
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Publication:6164597
DOI10.1016/J.COR.2023.106219OpenAlexW4324344186MaRDI QIDQ6164597FDOQ6164597
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
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- Risk sensitive asset allocation
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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
heuristicsindex trackingrisk contributionscardinality-constrained portfolio optimizationnon-convex MIP
Cites Work
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- JuMP: a modeling language for mathematical optimization
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- An evolutionary heuristic for the index tracking problem.
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- Optimal portfolio selection and dynamic benchmark tracking
- Nonnegative-Lasso and application in index tracking
- Nonnegative elastic net and application in index tracking
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- Heuristics for cardinality constrained portfolio optimization
- A mixed 0--1 LP for index tracking problem with CVaR risk constraints
- Linear programming models based on omega ratio for the enhanced index tracking problem
- A methodology for index tracking based on time-series clustering
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Minimizing the tracking error of cardinality constrained portfolios
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Factor-based robust index tracking
- Enhanced index tracking with CVaR-based ratio measures
- Introduction to risk parity and budgeting
- Sparse Portfolios for High-Dimensional Financial Index Tracking
- Index tracking model, downside risk and non-parametric kernel estimation
- Cardinality-constrained risk parity portfolios
- Least-squares approach to risk parity in portfolio selection
- Global solution of non-convex quadratically constrained quadratic programs
- Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
- SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design
- Generalized risk parity portfolio optimization: an ADMM approach
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