On a local-search heuristic for a class of tracking error minimization problems in portfolio management

DOI10.1023/B:ANOR.0000039512.98833.5azbMath1067.91026MaRDI QIDQ702711

Ulrich Derigs, Nils-H. Nickel

Publication date: 17 January 2005

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

zbMATH Keywords

simulated annealingtransaction costsmeta-heuristicsPortfolio optimizationinvestment guidelinesmulti-factor return modeltracking error problem

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (5)

Exact and heuristic approaches for the index tracking problem with UCITS constraints ⋮ Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming ⋮ A fuzzy interactive approach for optimal portfolio management ⋮ Heuristic algorithms for the cardinality constrained efficient frontier ⋮ Particle swarm optimization approach to portfolio optimization

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