Hong, Seo Woo; Miasnikof, Pierre; Kwon, Roy; Lawryshyn, Yuri - In: Journal of risk and financial management : JRFM 14 (2021) 1/34, pp. 1-13
We present a novel technique for cardinality-constrained index-tracking, a common task in the financial industry. Our … approach is based on market graph models. We model our reference indices as market graphs and express the index-tracking … modeling, to formulate the index-tracking problem as a binary quadratic K-medoid graph-clustering problem. Our initial results …