Selection of balanced portfolios to track the main properties of a large market

DOI10.1080/14697688.2013.859389zbMath1398.91515OpenAlexW2109350826MaRDI QIDQ4683015

Donatien Tafin Djoko, Yves Tillé

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.859389

zbMATH Keywords

heuristicsurvey samplingbalanced samplingcapitalizationmarket tracking

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Cites Work

• A hybrid optimization approach to index tracking
• Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Sampling algorithms.
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Efficient balanced sampling: The cube method
• Optimal sampling and estimation strategies under the linear model
• A methodology for index tracking based on time-series clustering
• A Generalization of Sampling Without Replacement From a Finite Universe
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