Heuristic methods for stock selection and allocation in an index tracking problem

2021 ◽  
pp. 1-17
Author(s):  
Codrut Florin Ivascu
Keyword(s):  
Portfolio Management ◽  
Tracking Error ◽  
Heuristic Methods ◽  
Index Tracking ◽  
Tracking Problem ◽  
Stock Selection ◽  
Data Driven Approach ◽  
The Usa ◽  
The Uk ◽  
Financial Indices

Index tracking is one of the most popular passive strategy in portfolio management. However, due to some practical constrains, a full replication is difficult to obtain. Many mathematical models have failed to generate good results for partial replicated portfolios, but in the last years a data driven approach began to take shape. This paper proposes three heuristic methods for both selection and allocation of the most informative stocks in an index tracking problem, respectively XGBoost, Random Forest and LASSO with stability selection. Among those, latest deep autoencoders have also been tested. All selected algorithms have outperformed the benchmarks in terms of tracking error. The empirical study has been conducted on one of the biggest financial indices in terms of number of components in three different countries, respectively Russell 1000 for the USA, FTSE 350 for the UK, and Nikkei 225 for Japan.

The stock-bond nexus and investors’ behavior in mature and emerging markets

2019 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Refk Selmi ◽  
Rangan Gupta ◽  
Christos Kollias ◽  
Stephanos Papadamou
Keyword(s):  
South Africa ◽  
Quantile Regression ◽  
Stock Returns ◽  
Portfolio Management ◽  
Content Type ◽  
Response Strategies ◽  
Quantile Regression Model ◽  
The Usa ◽  
The Uk

Purpose Portfolio construction and diversification is a prominent challenge for investors. It reflects market agents’ behavior and response to market conditions. This paper aims to investigate the stock-bond nexus in the case of two emerging and two mature markets, India, South Africa, the UK and the USA, using long-term historical monthly data. Design/methodology/approach To address the issue at hand, copula quantile-on-quantile regression (C-QQR) is used to model the correlation structure. Although this technique is driven by copula-based quantile regression model, it retains more flexibility and delivers more robust and accurate estimates. Findings Results suggest that there is substantial heterogeneity in the bond-stock returns correlation across the countries under study point to different investors’ behavior in the four markets examined. Additionally, the findings reported herein suggest that using C-QQR in portfolio management can enable the formation of tailored response strategies, adapted to the needs and preferences of investors and traders. Originality/value To the best of the authors’ knowledge, no previous study has addressed in a comparative setting the stock-bond nexus for the four countries used here using long-term historical data that cover the periods 1920:08-2017:02, 1910:01-2017:02, 1933:01-2017:02 and 1791:09-2017:02 for India, South Africa, the UK and the USA, respectively.

scholarly journals A MULTIOBJECTIVE MODEL FOR PASSIVE PORTFOLIO MANAGEMENT: AN APPLICATION ON THE S&P 100 INDEX

2013 ◽  
Vol 14 (4) ◽  
pp. 758-775 ◽  
Author(s):  
Fernando García ◽  
Francisco Guijarro ◽  
Ismael Moya
Keyword(s):  
Portfolio Management ◽  
Programming Model ◽  
Tracking Error ◽  
Error Variance ◽  
Index Tracking ◽  
Mathematical Programming Model ◽  
Substantial Cost ◽  
Risk Return ◽  
Wide Range ◽  
Reference Index

Index tracking seeks to minimize the unsystematic risk component by imitating the movements of a reference index. Partial index tracking only considers a subset of the stocks in the index, enabling a substantial cost reduction in comparison with full tracking. Nevertheless, when heterogeneous investment profiles are to be satisfied, traditional index tracking techniques may need different stocks to build the different portfolios. The aim of this paper is to propose a methodology that enables a fund's manager to satisfy different clients’ investment profiles but using in all cases the same subset of stocks, and considering not only one particular criterion but a compromise between several criteria. For this purpose we use a mathematical programming model that considers the tracking error variance, the excess return and the variance of the portfolio plus the curvature of the tracking frontier. The curvature is not defined for a particular portfolio, but for all the portfolios in the tracking frontier. This way funds’ managers can offer their clients a wide range of risk-return combinations just picking the appropriate portfolio in the frontier, all of these portfolios sharing the same shares but with different weights. An example of our proposal is applied on the S&P 100.

An early mainstream economist from Hungary: István Varga (1897–1962)

2003 ◽  
Vol 53 (2) ◽  
pp. 195-213 ◽  
Author(s):  
K. Majoros
Keyword(s):  
Austrian Economic ◽  
National Income ◽  
Anglo Saxon ◽  
Turbulent Times ◽  
The Usa ◽  
New Ideas ◽  
Modern Economic ◽  
The Uk ◽  
Economic Thinking ◽  
Lasting Influence

The study introduces a Hungarian economic thinker, István Varga*, whose valuable activity has remained unexplored up to now. He became an economic thinker during the 1920s, in a country that had not long before become independent of Austria. The role played by Austria in the modern economic thinking of that time was a form of competition with the thought adhered to by the UK and the USA. Hungarian economists mainly interpreted and commented on German and Austrian theories, reasons for this being that, for example, the majority of Hungarian economists had studied at German and Austrian universities, while at Hungarian universities principally German and Austrian economic theories were taught. István Varga was familiar not only with contemporary German economics but with the new ideas of Anglo-Saxon economics as well — and he introduced these ideas into Hungarian economic thinking. He lived and worked in turbulent times, and historians have only been able to appreciate his activity in a limited manner. The work of this excellent economist has all but been forgotten, although he was of international stature. After a brief summary of Varga’s profile the study will demonstrate the lasting influence he has had in four areas — namely, business cycle research and national income estimations, the 1946 Hungarian stabilisation program, corporate profit, and consumption economics — and will go on to summarise his most important achievements.

Neurosurgical activity during COVID-19 pandemic: an experts' opinion from China, South Korea, Italy, the USA, Colombia, and the UK

2020 ◽  
Vol 64 (4) ◽  
Author(s):  
Marco M. Fontanella ◽  
Giorgio Saraceno ◽  
Ting Lei ◽  
Joshua B. Bederson ◽  
Namkyu You ◽  
...  
Keyword(s):  
South Korea ◽  
The Usa ◽  
The Uk

Benchmarking Risk Analysis Practice in the International Water Sector

2006 ◽  
Vol 1 (2) ◽  
Author(s):  
B.H. MacGillivray ◽  
P.D. Hamilton ◽  
S.E. Hrudey ◽  
L. Reekie ◽  
S.J.T Pollard
Keyword(s):  
Decision Making ◽  
Risk Analysis ◽  
Water Utilities ◽  
Water Sector ◽  
Water Utility ◽  
Analysis Techniques ◽  
The Usa ◽  
International Water ◽  
Practical Guidance ◽  
The Uk

Risk analysis in the water utility sector is fast becoming explicit. Here, we describe application of a capability model to benchmark the risk analysis maturity of a sub-sample of eight water utilities from the USA, the UK and Australia. Our analysis codifies risk analysis practice and offers practical guidance as to how utilities may more effectively employ their portfolio of risk analysis techniques for optimal, credible, and defensible decision making.

Emergent and Adaptive Spiritualities in the Twentieth Century

2018 ◽  
Author(s):  
Andy Lord
Keyword(s):  
Twentieth Century ◽  
Case Studies ◽  
Church Life ◽  
The Usa ◽  
The Uk

This chapter points to the ‘pluralization of the lifeworld’ involved in globalization as a key context for changing dissenting spiritualities through the twentieth century. These have included a remarkable upsurge in Spirit-movements that fall under categories such as Pentecostal, charismatic, neo-charismatic, ‘renewalist’, and indigenous Churches. Spirit language is not only adaptive to globalized settings, but brings with it eschatological assumptions. New spiritualities emerge to disrupt existing assumptions with prophetic and often critical voices that condemn aspects of the existing culture, state, and church life. This chapter outlines this process of disruption of the mainstream in case studies drawn from the USA, the UK, India, Africa, and Indonesia, where charismaticized Christianity has emerged and grown strongly in often quite resistant broader cultures.

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