Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints
Download full text from publisher
Other versions of this item:
- Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2012. "Exact and heuristic approaches for the index tracking problem with UCITS constraints," Center for Economic Research (RECent) 081, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
References listed on IDEAS
- Diana Barro & Elio Canestrelli, 2009. "Tracking error: a multistage portfolio model," Annals of Operations Research, Springer, vol. 165(1), pages 47-66, January.
- 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.
- Canakgoz, N.A. & Beasley, J.E., 2009. "Mixed-integer programming approaches for index tracking and enhanced indexation," European Journal of Operational Research, Elsevier, vol. 196(1), pages 384-399, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andriosopoulos, Kostas & Doumpos, Michael & Papapostolou, Nikos C. & Pouliasis, Panos K., 2013. "Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 16-34.
- C. A. Valle & J. E. Beasley, 2019. "A nonlinear optimisation model for constructing minimal drawdown portfolios," Papers 1908.08684, arXiv.org.
- Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2013. "No arbitrage and a linear portfolio selection model," Economics Bulletin, AccessEcon, vol. 33(2), pages 1247-1258.
- Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2012. "A new stochastic dominance approach to enhanced index tracking problems," Economics Bulletin, AccessEcon, vol. 32(4), pages 3460-3470.
- Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2012. "A New Lp Model For Enhanced Indexation," Departmental Working Papers of Economics - University 'Roma Tre' 0168, Department of Economics - University Roma Tre.
- Leonardo Riegel Sant’Anna & Tiago Pascoal Filomena & Pablo Cristini Guedes & Denis Borenstein, 2017. "Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming," Annals of Operations Research, Springer, vol. 258(2), pages 849-867, November.
More about this item
KeywordsIndex tracking; mixed integer quadratic programming; stochastic search heuristics; differential evolution; cardinality constraints;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
StatisticsAccess and download statistics
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:mod:depeco:0685. 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). General contact details of provider: http://edirc.repec.org/data/demodit.html .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.