IDEAS home Printed from https://ideas.repec.org/h/spr/lnechp/978-3-642-00939-6_8.html
   My bibliography  Save this book chapter

Metaheuristics for the Index Tracking Problem

In: Metaheuristics in the Service Industry

Author

Listed:
  • Giacomo di Tollo

    (University of Basel)

  • Dietmar Maringer

    (University of Basel)

Abstract

Passive portfolio management strategies such as Index Tracking have gained considerable attention the industry recently which has also sparked some research interest. Index Tracking Problems are often complex in nature because of constraints on the portfolio structure and the chosen measure for the Tracking Error, quickly defying the use of traditional deterministic methods. Heuristic search and optimizationmethods, on the other hand, can dealwith this complexity and therefore appear as ideal choice to solve this class of problems. This contribution describes the Index Tracking Problem together with typical constraint encountered in practice, and illustrates how metaheuristic methods can be employed.

Suggested Citation

  • Giacomo di Tollo & Dietmar Maringer, 2009. "Metaheuristics for the Index Tracking Problem," Lecture Notes in Economics and Mathematical Systems, in: Kenneth Sörensen & Marc Sevaux & Walter Habenicht & Martin Josef Geiger (ed.), Metaheuristics in the Service Industry, chapter 8, pages 127-154, Springer.
    • Handle: RePEc:spr:lnechp:978-3-642-00939-6_8
    DOI: 10.1007/978-3-642-00939-6_8
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mahdi Moeini, 2022. "Solving the index tracking problem: a continuous optimization approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 807-835, June.
    2. Doering, Jana & Kizys, Renatas & Juan, Angel A. & Fitó, Àngels & Polat, Onur, 2019. "Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends," Operations Research Perspectives, Elsevier, vol. 6(C).
    3. 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.
    4. Jin Zhang & Dietmar Maringer, 2010. "Index Mutual Fund Replication," Working Papers 035, COMISEF.
    5. H Mezali & J E Beasley, 2013. "Quantile regression for index tracking and enhanced indexation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 64(11), pages 1676-1692, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:lnechp:978-3-642-00939-6_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.