Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming

DOI10.1007/s10479-016-2111-xzbMath1377.91152OpenAlexW2273357186MaRDI QIDQ1686536

Leonardo Riegel Sant'Anna, Pablo Cristini Guedes, Tiago Pascoal Filomena, Denis Borenstein

Publication date: 15 December 2017

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2111-x

zbMATH Keywords

genetic algorithmportfolio optimizationindex tracking

Mathematics Subject Classification ID

Nonlinear programming (90C30) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (6)

Enhanced index tracking with CVaR-based ratio measures ⋮ A two-stage approach to the UCITS-constrained index-tracking problem ⋮ Solving the index tracking problem: a continuous optimization approach ⋮ An enhanced GRASP approach for the index tracking problem ⋮ Liquidity-constrained index tracking optimization models ⋮ Risk-allocation-based index tracking

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• MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
• Integrated simulation and optimization models for tracking international fixed income indices

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