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Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
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Metaheuristics for the index tracking problem
Tollo, Giacomo di; Maringer, Dietmar G. - In: Metaheuristics in the service industry, (pp. 127-154). 2009
Persistent link: https://www.econbiz.de/10003852274
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Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms
Andriosopoulos, Kostas; Doumpos, Michael; Papapostolou, … - In: Transportation research / E : an international journal 52 (2013), pp. 16-34
Persistent link: https://www.econbiz.de/10009735738
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A heuristic approach to the index tracking problem : a case study of the Tehran Exchange Price Index
Varsei, Mohsen; Shams, Naser; Fahimnia, Behnam; … - In: Asian Academy of Management journal : AAMJ 18 (2013) 1, pp. 19-34
Persistent link: https://www.econbiz.de/10010256986
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Multi-scale tracking dynamics and optimal index replication
Li, Qian; Bao, Liang; Zhang, Q. L. - In: Applied economics letters 21 (2014) 4/6, pp. 252-256
Persistent link: https://www.econbiz.de/10010413873
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A linear risk-return model for enhanced indexation in portfolio optimization
Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 735-759
Persistent link: https://www.econbiz.de/10011296700
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Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints
Scozzari, Andrea - 2012
Index tracking aims at determining an optimal portfolio that replicates the performance of an index or benchmark by investing in a smaller number of constituents or assets. The tracking portfolio should be cheap to maintain and update, i.e., invest in a smaller number of constituents than the...
Persistent link: https://www.econbiz.de/10013106053
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Solving the index tracking problem : a continuous optimization approach
Moeini, Mahdi - In: Central European journal of operations research 30 (2022) 2, pp. 807-835
Persistent link: https://www.econbiz.de/10013185427
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A multiobjective model for passive portfolio management : an application on the S&P 100 index
García, Fernando; Guijarro, Francisco; Moya, Ismael - In: Journal of business economics and management 14 (2013) 4, pp. 758-775
Persistent link: https://www.econbiz.de/10010188972
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Solving the index tracking problem based on a convex reformulation for cointegration
Sant'Anna, Leonardo Riegel; Oliveira, Alan Delgado de; … - In: Finance research letters 37 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012484879