Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management

zbMath1043.91028MaRDI QIDQ1402429

Ulrich Derigs, Nils-H. Nickel

Publication date: 27 August 2003

Published in: OR Spectrum (Search for Journal in Brave)

zbMATH Keywords

Simulated annealingPortfolio managementDecision support systemMeta-heuristicsIndex tracking

Mathematics Subject Classification ID

Decision theory (91B06) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (8)

Mixed-integer programming approaches for index tracking and enhanced indexation ⋮ Exact and heuristic approaches for the index tracking problem with UCITS constraints ⋮ Kernel search: an application to the index tracking problem ⋮ Heuristic algorithms for the cardinality constrained efficient frontier ⋮ Selection of balanced portfolios to track the main properties of a large market ⋮ On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking ⋮ Particle swarm optimization approach to portfolio optimization ⋮ Portfolio optimization with an envelope-based multi-objective evolutionary algorithm

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