Cardinality versusq-norm constraints for index tracking
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Publication:5247282
DOI10.1080/14697688.2012.691986zbMath1402.91689OpenAlexW3122675629MaRDI QIDQ5247282
Peter Winker, Björn Fastrich, Sandra Paterlini
Publication date: 23 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.691986
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cites Work
- Optimization by Simulated Annealing
- Robust portfolio optimization with a hybrid heuristic algorithm
- Portfolio management with heuristic optimization.
- Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- An evolutionary heuristic for the index tracking problem.
- Differential evolution and combinatorial search for constrained index-tracking
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Portfolio optimization with linear and fixed transaction costs
- Sparse and stable Markowitz portfolios
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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