Robust portfolio selection for index tracking
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Cites work
- A methodology for index tracking based on time-series clustering
- An evolutionary heuristic for the index tracking problem.
- scientific article; zbMATH DE number 1836443 (Why is no real title available?)
- MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Optimal portfolio selection and dynamic benchmark tracking
- Optimization Methods in Finance
- Robust asset allocation
- Robust convex optimization
- Robust discrete optimization and network flows
- Robust multiperiod portfolio management in the presence of transaction costs
- Robust profit opportunities in risky financial portfolios
- Short sales in log-robust portfolio management
- Strong formulations of robust mixed 0-1 programming
Cited in
(34)- Recent advancements in robust optimization for investment management
- A two-stage approach to the UCITS-constrained index-tracking problem
- Worst-case analysis of Gini mean difference safety measure
- Robust tracking error portfolio selection with worst-case downside risk measures
- A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions
- Robust trade-off portfolio selection
- Recent advances in robust optimization: an overview
- Robust investment decisions under supply disruption in petroleum markets
- A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
- Robust and sparse portfolio model for index tracking
- An optimisation approach to constructing an exchange-traded fund
- Omega-CVaR portfolio optimization and its worst case analysis
- Factor-based robust index tracking
- Index tracking with fixed and variable transaction costs
- Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
- Solving the index tracking problem: a continuous optimization approach
- Good deals and benchmarks in robust portfolio selection
- A generalized description length approach for sparse and robust index tracking
- Constrained Index Tracking under Loss Aversion Using Differential Evolution
- A two-stage stochastic mixed-integer programming approach to the index tracking problem
- Selection of balanced portfolios to track the main properties of a large market
- Index tracking through deep latent representation learning
- Myopic robust index tracking with Bregman divergence
- A method for robust index tracking
- Computational Science – ICCS 2005
- Investment portfolio tracking using model predictive control
- Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
- Robust enhanced indexation optimization with sparse industry Layout constraint
- Liquidity-constrained index tracking optimization models
- Risk-allocation-based index tracking
- Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints
- Network-based index tracking using asset dependency structures
- Enhancing index-tracking performance: leveraging characteristic-based factor models for reduced estimation errors
- Robust portfolio optimization: a categorized bibliographic review
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