Quantile regression for index tracking and enhanced indexation
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References listed on IDEAS
- 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.
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- 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, Dipartimento di Economia "Marco Biagi".
- N. Meade & J. E. Beasley, 2011. "Detection of momentum effects using an index out-performance strategy," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 313-326.
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- repec:spr:jglopt:v:70:y:2018:i:1:d:10.1007_s10898-017-0513-1 is not listed on IDEAS
- Valle, C.A. & Meade, N. & Beasley, J.E., 2014. "Absolute return portfolios," Omega, Elsevier, vol. 45(C), pages 20-41.
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"Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem,"
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Elsevier, vol. 251(3), pages 938-956.
- Gaustaroba, Gianfranco & Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Linear Programming Models based on Omega Ratio for the Enhanced Index Tracking Problem," MPRA Paper 67097, University Library of Munich, Germany.
- Filippi, C. & Guastaroba, G. & Speranza, M.G., 2016. "A heuristic framework for the bi-objective enhanced index tracking problem," Omega, Elsevier, vol. 65(C), pages 122-137.
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