Threshold Accepting for Index Tracking
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- Nikos S. Thomaidis & Timotheos Angelidis & Vassilios Vassiliadis & Georgios Dounias, 2009.
"Active Portfolio Management With Cardinality Constraints: An Application Of Particle Swarm Optimization,"
New Mathematics and Natural Computation (NMNC),
World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 535-555.
- Nikos Thomaidis & Timotheos Angelidis & Vassilios Vassiliadis & Georgios Dounias, 2008. "Active Portfolio Management With Cardinality Constraints: An Application Of Particle Swarm Optimization," Working Papers 0016, University of Peloponnese, Department of Economics.
More about this item
KeywordsIndex tracking; threshold accepting; heuristic optimization;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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