Differential evolution and combinatorial search for constrained index-tracking
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Publication:2267300
DOI10.1007/s10479-009-0552-1zbMath1183.91167OpenAlexW2041151660MaRDI QIDQ2267300
Thiemo Krink, Sandra Paterlini, Stefan Mittnik
Publication date: 1 March 2010
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://155.185.68.2/CefinPaper/CEFIN-WP16.pdf
Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
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Cites Work
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- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- An evolutionary heuristic for the index tracking problem.
- Differential evolution and combinatorial search for constrained index-tracking
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