IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

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

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.dep.unimore.it/materiali_discussione/0642.pdf
Download Restriction: no

Paper provided by University of Modena and Reggio E., Faculty of Economics "Marco Biagi" in its series Department of Economics with number 0642.

as
in new window

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/

More information through EDIRC

References listed on IDEAS
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.:

as in new window
  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. Manfred Gilli & Peter Winker, 2008. "Review of Heuristic Optimization Methods in Econometrics," Working Papers 001, COMISEF.
  3. Marina Murat & Barbara Pistoresi, 2009. "Emigrant and immigrant networks in FDI," Applied Economics Letters, Taylor & Francis Journals, vol. 16(12), pages 1261-1264.
  4. Björn Fastrich & Peter Winker, 2010. "Robust Portfolio Optimization with a Hybrid Heuristic Algorithm," Working Papers 041, COMISEF.
  5. 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".
  6. 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.
  7. Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
  8. Brodie, Joshua & Daubechies, Ingrid & De Mol, Christine & Giannone, Domenico & Loris, Ignace, 2008. "Sparse and stable Markowitz portfolios," Working Paper Series 0936, European Central Bank.
  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, Dipartimento di Economia "Marco Biagi".
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

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 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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.