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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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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. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009. "Differential evolution and combinatorial search for constrained index-tracking," Annals of Operations Research, Springer, vol. 172(1), pages 153-176, November.
  2. Marina Murat & Barbara Pistoresi, 2009. "Emigrant and immigrant networks in FDI," Applied Economics Letters, Taylor & Francis Journals, vol. 16(12), pages 1261-1264.
  3. 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".
  4. Brodie, Joshua & Daubechies, Ingrid & De Mol, Christine & Giannone, Domenico & Loris, Ignace, 2008. "Sparse and stable Markowitz portfolios," Working Paper Series 0936, European Central Bank.
  5. Björn Fastrich & Peter Winker, 2010. "Robust Portfolio Optimization with a Hybrid Heuristic Algorithm," Working Papers 041, COMISEF.
  6. Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
  7. Giuseppe Marotta, 1997. "Does trade credit redistribution thwart monetary policy? Evidence from Italy," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1619-1629.
  8. Manfred GILLI & Peter WINKER, . "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.
  9. 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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