Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
From MaRDI portal
Publication:1686536
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
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
Cites Work
- Kernel search: a new heuristic framework for portfolio selection
- Kernel search: an application to the index tracking problem
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- On a local-search heuristic for a class of tracking error minimization problems in portfolio management
- Optimal portfolio selection and dynamic benchmark tracking
- Tracking error: a multistage portfolio model
- A hybrid optimization approach to index tracking
- An evolutionary heuristic for the index tracking problem.
- Heuristic optimisation in financial modelling
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Differential evolution and combinatorial search for constrained index-tracking
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
- Integrated simulation and optimization models for tracking international fixed income indices
This page was built for publication: Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
