Cardinality versus q-Norm Constraints for Index Tracking
Index tracking aims at replicating a given benchmark with a smaller number of its constituents. Different quantitative models cam 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
|Date of creation:||Jan 2011|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.economia.unimore.it/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Joshua Brodie & Ingrid Daubechies & Christine De Mol & Domenico Giannone & Ignace Loris, 2007.
"Sparse and stable Markowitz portfolios,"
0708.0046, arXiv.org, revised May 2008.
- Brodie, Joshua & Daubechies, Ingrid & De Mol, Christine & Giannone, Domenico & Loris, Ignace, 2008. "Sparse and stable Markowitz portfolios," Working Paper Series 0936, European Central Bank.
- Brodie, Joshua & Daubechies, Ingrid & De Mol, Christine & Giannone, Domenico, 2007. "Sparse and Stable Markowitz Portfolios," CEPR Discussion Papers 6474, C.E.P.R. Discussion Papers.
- 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".
- Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
- Manfred GILLI & Peter WINKER, .
"A review of heuristic optimization methods in econometrics,"
Swiss Finance Institute Research Paper Series
08-12, Swiss Finance Institute.
- Manfred Gilli & Peter Winker, 2008. "Review of Heuristic Optimization Methods in Econometrics," Working Papers 001, COMISEF.
- 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.
- Marina Murat & Tommaso Pirotti, 2010. "The attractiveness of countries for FDI. A fuzzy approach," Center for Economic Research (RECent) 055, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Marina Murat & Tommaso Pirotti, 2010. "The Attractiveness of Countries for FDI. A Fuzzy Approach," Department of Economics 0640, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Björn Fastrich & Peter Winker, 2012.
"Robust portfolio optimization with a hybrid heuristic algorithm,"
Computational Management Science,
Springer, vol. 9(1), pages 63-88, February.
- Björn Fastrich & Peter Winker, 2010. "Robust Portfolio Optimization with a Hybrid Heuristic Algorithm," Working Papers 041, COMISEF.
- 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".
- 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.
- Giuseppe Marotta, 1997. "Does trade credit redistribution thwart monetary policy? Evidence from Italy," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1619-1629.
When requesting a correction, please mention this item's handle: RePEc:mod:depeco:0642. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sara Colombini)
If references are entirely missing, you can add them using this form.