Minimizing the tracking error of cardinality constrained portfolios

DOI10.1016/j.cor.2017.09.002zbMath1391.90434OpenAlexW2753542811MaRDI QIDQ1652503

Purity Mutunge, Dag Haugland

Publication date: 11 July 2018

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

Full work available at URL: https://doi.org/10.1016/j.cor.2017.09.002

zbMATH Keywords

heuristicsportfolio managementindex trackinginteger quadratic programming

Mathematics Subject Classification ID

Integer programming (90C10) Mixed integer programming (90C11) Quadratic programming (90C20) Approximation methods and heuristics in mathematical programming (90C59) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (9)

A two-stage approach to the UCITS-constrained index-tracking problem ⋮ An omega portfolio model with dynamic return thresholds ⋮ A unifying framework for sparsity-constrained optimization ⋮ An enhanced GRASP approach for the index tracking problem ⋮ Risk-allocation-based index tracking ⋮ Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models ⋮ Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization ⋮ Fast Methods for the Index Tracking Problem ⋮ Index tracking through deep latent representation learning

Uses Software

• OR-Library

Cites Work

• Unnamed Item
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• Heuristic algorithms for the cardinality constrained efficient frontier
• A new method for mean-variance portfolio optimization with cardinality constraints
• Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
• Reorthogonalization and Stable Algorithms for Updating the Gram-Schmidt QR Factorization
• OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION

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