Efficient DC Algorithm for the Index-Tracking Problem

Intelligent Computing & Optimization - Lecture Notes in Networks and Systems ◽

10.1007/978-3-030-93247-3_56 ◽

2022 ◽

pp. 566-576

Author(s):

F. Hooshmand ◽

S. A. MirHassani

Keyword(s):

Index Tracking ◽

Tracking Problem ◽

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Fast Methods for the Index Tracking Problem

Operations Research Proceedings - Operations Research Proceedings 2017 ◽

10.1007/978-3-319-89920-6_38 ◽

2018 ◽

pp. 277-283

Author(s):

Dag Haugland

Keyword(s):

Index Tracking ◽

Tracking Problem ◽

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A Three-phase Approach to an Enhanced Index-tracking Problem with Real-life Constraints

The Engineering Economist ◽

10.1080/0013791x.2019.1619887 ◽

2019 ◽

Vol 64 (3) ◽

pp. 227-253

Author(s):

O. Strub ◽

S. Brandinu ◽

D. Lerch ◽

J. Schaller ◽

N. Trautmann

Keyword(s):

Real Life ◽

Index Tracking ◽

Tracking Problem ◽

Phase Approach ◽

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Exact and heuristic approaches for the index tracking problem with UCITS constraints

Annals of Operations Research ◽

10.1007/s10479-012-1207-1 ◽

2012 ◽

Vol 205 (1) ◽

pp. 235-250 ◽

Author(s):

Andrea Scozzari ◽

Fabio Tardella ◽

Sandra Paterlini ◽

Thiemo Krink

Keyword(s):

Index Tracking ◽

Tracking Problem ◽

Heuristic Approaches

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A genetic algorithm for the UCITS-constrained index-tracking problem

2017 IEEE Congress on Evolutionary Computation (CEC) ◽

10.1109/cec.2017.7969394 ◽

2017 ◽

Author(s):

Oliver Strub ◽

Norbert Trautmann

Keyword(s):

Genetic Algorithm ◽

Index Tracking ◽

Tracking Problem

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Solving the index tracking problem: a continuous optimization approach

Central European Journal of Operations Research ◽

10.1007/s10100-019-00633-0 ◽

2019 ◽

Author(s):

Mahdi Moeini

Keyword(s):

Continuous Optimization ◽

Optimization Approach ◽

Index Tracking ◽

Tracking Problem

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The Impact of Different Economic Scenarios Towards Portfolio Selection in Enhanced Index Tracking Problem

Advanced Science Letters ◽

10.1166/asl.2015.6001 ◽

2015 ◽

Vol 21 (5) ◽

pp. 1285-1288 ◽

Author(s):

Lam Weng Siew ◽

Saiful Hafizah Hj.Jaaman ◽

Hamizun Bin Ismail

Keyword(s):

Portfolio Selection ◽

Index Tracking ◽

Tracking Problem ◽

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A heuristic framework for the bi-objective enhanced index tracking problem

Omega ◽

10.1016/j.omega.2016.01.004 ◽

2016 ◽

Vol 65 ◽

pp. 122-137 ◽

Author(s):

C. Filippi ◽

G. Guastaroba ◽

M.G. Speranza

Keyword(s):

Index Tracking ◽

Tracking Problem

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Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints

SSRN Electronic Journal ◽

10.2139/ssrn.2066672 ◽

2012 ◽

Author(s):

Andrea Scozzari ◽

Fabio Tardella ◽

Sandra Paterlini ◽

Thiemo Krink

Keyword(s):

Index Tracking ◽

Tracking Problem ◽

Heuristic Approaches

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Kernel Search: An application to the index tracking problem

European Journal of Operational Research ◽

10.1016/j.ejor.2011.09.004 ◽

2012 ◽

Vol 217 (1) ◽

pp. 54-68 ◽

Author(s):

G. Guastaroba ◽

M.G. Speranza

Keyword(s):

Index Tracking ◽

Tracking Problem

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Solving the index tracking problem based on a convex reformulation for cointegration

Finance Research Letters ◽

10.1016/j.frl.2019.101356 ◽

2020 ◽

Vol 37 ◽

pp. 101356

Author(s):

Leonardo Riegel Sant'Anna ◽

Alan Delgado de Oliveira ◽

Tiago Pascoal Filomena ◽

João Frois Caldeira

Keyword(s):

Index Tracking ◽

Tracking Problem

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