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Cardinality versus q-Norm Constraints for Index Tracking

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  • Bjoern Fastrich

    ()

  • Sandra Paterlini

    ()

  • Peter Winker

    ()

Abstract

Index tracking aims at replicating a given benchmark with a smaller number of its constituents. Different quantitative models can be set up to determine the optimal index replicating portfolio. In this paper, we propose an alternative based on imposing a constraint on the q-norm, 0

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Bibliographic Info

Paper provided by University of Modena and Reggio E., Dept. of Economics in its series Center for Economic Research (RECent) with number 056.

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Length: pages 21
Date of creation: Jan 2011
Date of revision:
Handle: RePEc:mod:recent:056

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Web page: http://www.recent.unimore.it/
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Keywords: index tracking; cardinality constraint; q-norm; regularization methods; heuristic algorithms;

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References

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  1. Giuseppe Marotta, 1997. "Does trade credit redistribution thwart monetary policy? Evidence from Italy," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1619-1629.
  2. Marina Murat & Barbara Pistoresi, 2006. "Emigrants and immigrants networks in FDI," Department of Economics 0546, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
  3. Manfred GILLI & Peter WINKER, . "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.
  4. Björn Fastrich & Peter Winker, 2012. "Robust portfolio optimization with a hybrid heuristic algorithm," Computational Management Science, Springer, vol. 9(1), pages 63-88, February.
  5. Joshua Brodie & Ingrid Daubechies & Christine De Mol & Domenico Giannone & Ignace Loris, 2007. "Sparse and stable Markowitz portfolios," Papers 0708.0046, arXiv.org, revised May 2008.
  6. Murat, Marina & Pirotti, Tommaso, 2010. "The attractiveness of countries for FDI. A fuzzy approach," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 43-61, November.
  7. Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
  8. Beasley, J. E. & Meade, N. & Chang, T. -J., 2003. "An evolutionary heuristic for the index tracking problem," European Journal of Operational Research, Elsevier, vol. 148(3), pages 621-643, August.
  9. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009. "Differential Evolution and Combinatorial Search for Constrained Index Tracking," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09032, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
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Cited by:
  1. Michele Bruni, 2011. "China’s New Demographic Challenge: From Unlimited Supply of Labour to Structural Lack of Labour Supply. Labour market and demographic scenarios: 2008-2048," Department of Economics 0643, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".

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