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Cardinality versus q-Norm Constraints for Index Tracking

  • Bjoern Fastrich

    ()

  • Sandra Paterlini

    ()

  • Peter Winker

    ()

Index tracking aims at replicating a given benchmark with a smaller number of its constituents. Different quantitative models can 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., Dept. of Economics "Marco Biagi" in its series Center for Economic Research (RECent) with number 056.

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Length: pages 21
Date of creation: Jan 2011
Date of revision:
Handle: RePEc:mod:recent:056
Contact details of provider: Web page: http://www.recent.unimore.it/

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  1. 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".
  2. Björn Fastrich & Peter Winker, 2012. "Robust portfolio optimization with a hybrid heuristic algorithm," Computational Management Science, Springer, vol. 9(1), pages 63-88, February.
  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. Manfred Gilli & Peter Winker, 2008. "Review of Heuristic Optimization Methods in Econometrics," Working Papers 001, COMISEF.
  5. 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.
  6. 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".
  7. 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.
  8. Giuseppe Marotta, 1997. "Does trade credit redistribution thwart monetary policy? Evidence from Italy," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1619-1629.
  9. Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
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