Exact and heuristic approaches for the index tracking problem with UCITS constraints

DOI10.1007/s10479-012-1207-1zbMath1269.91080OpenAlexW3125238896MaRDI QIDQ2393352

Thiemo Krink, Fabio Tardella, Sandra Paterlini, Andrea Scozzari

Publication date: 7 August 2013

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

Full work available at URL: https://doi.org/10.1007/s10479-012-1207-1

zbMATH Keywords

cardinality constraintsdifferential evolutionindex trackingmixed integer quadratic programmingstochastic search heuristics

Mathematics Subject Classification ID

Mixed integer programming (90C11) Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (9)

Sparse index tracking using sequential Monte Carlo ⋮ A two-stage approach to the UCITS-constrained index-tracking problem ⋮ Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming ⋮ High-dimensional sparse index tracking based on a multi-step convex optimization approach ⋮ An enhanced GRASP approach for the index tracking problem ⋮ Liquidity-constrained index tracking optimization models ⋮ High-dimensional index tracking based on the adaptive elastic net ⋮ A linear risk-return model for enhanced indexation in portfolio optimization ⋮ An optimisation approach to constructing an exchange-traded fund

Uses Software

• NMOF

Cites Work

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