A two-stage approach to the UCITS-constrained index-tracking problem
type: Item
instance of: scholarly article
title: A two-stage approach to the UCITS-constrained index-tracking problem
zbMATH Open document ID: 1458.91199
author: O. Strub
author: Norbert Trautmann
published in: Computers \& Operations Research
publication date: 2018-12-17T00:00:00Z
full work available at URL: https://boris.unibe.ch/120471/
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C11
Mathematics Subject Classification ID: 90C20
Mathematics Subject Classification ID: 90C59
zbMATH DE Number: 6994274
zbMATH Keywords: portfolio management
zbMATH Keywords: index tracking
zbMATH Keywords: mixed-integer quadratic programming
zbMATH Keywords: heuristics
describes a project that uses: OR-Library
describes a project that uses: Excel
describes a project that uses: irace
describes a project that uses: GAUL
MaRDI profile type: Publication
OpenAlex ID: W2897791394
cites work: Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
cites work: An evolutionary heuristic for the index tracking problem.
cites work: Sparse Portfolios for High-Dimensional Financial Index Tracking
cites work: Integer programming models for feature selection: new extensions and a randomized solution algorithm
cites work: OR forum: An algorithmic approach to linear regression
cites work: Best subset selection via a modern optimization lens
cites work: Mixed-integer programming approaches for index tracking and enhanced indexation
cites work: Robust portfolio selection for index tracking
cites work: Local branching
cites work: Optimal portfolio selection and dynamic benchmark tracking
cites work: Q3096211
cites work: Heuristic optimisation in financial modelling
cites work: Kernel search: an application to the index tracking problem
cites work: 60 years of portfolio optimization: practical challenges and current trends
cites work: MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
cites work: Differential evolution and combinatorial search for constrained index-tracking
cites work: Q4033158
cites work: Minimizing the tracking error of cardinality constrained portfolios
cites work: Design of modern heuristics. Principles and application.
cites work: A hybrid optimization approach to index tracking
cites work: Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
cites work: Exact and heuristic approaches for the index tracking problem with UCITS constraints
cites work: Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
cites work: A note on genetic algorithms for large-scale feature selection
cites work: Optimal construction and rebalancing of index-tracking portfolios
cites work: Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
Wikidata QID: Q129104855
DOI: 10.1016/J.COR.2018.10.002
description: scientific article; zbMATH DE number 6994274