A two-stage approach to the UCITS-constrained index-tracking problem

DOI10.1016/j.cor.2018.10.002zbMath1458.91199OpenAlexW2897791394WikidataQ129104855 ScholiaQ129104855MaRDI QIDQ1634070

O. Strub, Norbert Trautmann

Publication date: 17 December 2018

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://boris.unibe.ch/120471/

zbMATH Keywords

heuristicsportfolio managementindex trackingmixed-integer quadratic programming

Mathematics Subject Classification ID

Mixed integer programming (90C11) Quadratic programming (90C20) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (4)

A risk index model for uncertain portfolio selection with background risk ⋮ High-dimensional sparse index tracking based on a multi-step convex optimization approach ⋮ An enhanced GRASP approach for the index tracking problem ⋮ High-dimensional index tracking based on the adaptive elastic net

Uses Software

• OR-Library
• Excel
• irace
• GAUL

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