An index tracking model with stratified sampling and optimal allocation
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Publication:4627146
DOI10.1002/asmb.2287zbMath1419.91594OpenAlexW2766934521MaRDI QIDQ4627146
Meihua Wang, Yu-Hong Dai, Feng-Min Xu
Publication date: 7 March 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2287
stratified samplingindex trackingout-of-sample performances-rar crossoverstratified hybrid genetic algorithm
Mixed integer programming (90C11) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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A bi‐level programming framework for identifying optimal parameters in portfolio selection ⋮ An enhanced GRASP approach for the index tracking problem
Cites Work
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- A hybrid approach for index tracking with practical constraints
- An efficient optimization approach for a cardinality-constrained index tracking problem
- A methodology for index tracking based on time-series clustering
- Optimization Problems with Cardinality Constraints
- Cardinality versusq-norm constraints for index tracking
- A Problem in Optimum Allocation
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