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Cardinality versus q-Norm Constraints for Index Tracking

  • Bjöern Fastrich

    ()

  • Sandra Paterlini

    ()

  • Peter Winker

    ()

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

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File URL: http://www.dep.unimore.it/materiali_discussione/0642.pdf
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Paper provided by University of Modena and Reggio E., Faculty of Economics "Marco Biagi" in its series Department of Economics with number 0642.

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Length: pages 21
Date of creation: Jan 2011
Date of revision:
Handle: RePEc:mod:depeco:0642
Contact details of provider: Web page: http://www.economia.unimore.it/
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  1. 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.
  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 & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
  4. Manfred GILLI & Peter WINKER, . "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.
  5. 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.
  6. Björn Fastrich & Peter Winker, 2012. "Robust portfolio optimization with a hybrid heuristic algorithm," Computational Management Science, Springer, vol. 9(1), pages 63-88, February.
  7. 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".
  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. Giuseppe Marotta, 1997. "Does trade credit redistribution thwart monetary policy? Evidence from Italy," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1619-1629.
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