Genetic algorithm versus classical methods in sparse index tracking

DOI10.1007/s10203-017-0191-yzbMath1398.91518OpenAlexW2619205994MaRDI QIDQ1693854

Margherita Giuzio

Publication date: 31 January 2018

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-017-0191-y

zbMATH Keywords

heuristicsportfolio optimizationsparsityindex tracking

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (5)

Sparse index clones via the sorted ℓ₁-Norm ⋮ Solving the index tracking problem: a continuous optimization approach ⋮ An enhanced GRASP approach for the index tracking problem ⋮ Quantile-based portfolios: post-model-selection estimation with alternative specifications ⋮ Un-diversifying during crises: is it a good idea?

Uses Software

• sparsenet

Cites Work

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• 10.1162/153244303322753751
• Cardinality versusq-norm constraints for index tracking
• Regularization and Variable Selection Via the Elastic Net

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