Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets

DOI10.1016/j.ejor.2013.09.006zbMath1304.91177OpenAlexW1973222958MaRDI QIDQ2514729

Kostas Andriosopoulos, Nikos K. Nomikos

Publication date: 3 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.09.006

zbMATH Keywords

evolutionary algorithmsindex trackingenergy marketsinternational investmentinternational equities

Mathematics Subject Classification ID

Case-oriented studies in operations research (90B90) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Portfolio theory (91G10)

Related Items (10)

A two-stage approach to the UCITS-constrained index-tracking problem ⋮ Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics ⋮ Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield ⋮ Myopic robust index tracking with Bregman divergence ⋮ Local Gaussian correlations in financial and commodity markets ⋮ Heuristic methods for stock selection and allocation in an index tracking problem ⋮ Optimal construction and rebalancing of index-tracking portfolios ⋮ An enhanced GRASP approach for the index tracking problem ⋮ Evaluating the dynamic performance of energy portfolios: empirical evidence from the DEA directional distance function ⋮ Index tracking through deep latent representation learning

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• Outline for a Logical Theory of Adaptive Systems

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