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  • Search: subject:"Enhanced Index Tracking"
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Subject
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Portfolio selection 14 Portfolio-Management 14 Enhanced index tracking 13 Aktienindex 12 Stock index 12 Theorie 12 Theory 12 Index 8 Index number 8 Mathematical programming 7 Mathematische Optimierung 7 Index tracking 5 enhanced index tracking 3 Correlation 2 Enhanced Index Tracking 2 Forecasting model 2 Korrelation 2 Linear programming 2 Mixed integer linear programming 2 Multi-objective optimization 2 Portfolio Selection 2 Prognoseverfahren 2 Risiko 2 Risk 2 Time-scale analysis 2 Tracking deviations decomposition 2 Algorithm 1 Algorithmus 1 Asset Management 1 Benchmark portfolio 1 Benchmarking 1 Bi-objective heuristic framework 1 Bi-objective optimization 1 Cluster analysis 1 Clusteranalyse 1 Cointegration 1 Conditional value-at-risk 1 Constraint Generation 1 Deep learning 1 Deviation of the portfolio value from the index value 1
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Undetermined 13 Free 3
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Article 18
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Article in journal 13 Aufsatz in Zeitschrift 13 Aufsatz im Buch 1 Book section 1
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English 14 Undetermined 4
Author
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Guastaroba, Gianfranco 3 Paulo, Wanderlei Lima de 3 Speranza, Maria Grazia 3 Bao, Liang 2 Bruni, Renato 2 Cesarone, Francesco 2 Costa, Oswaldo Luiz do Valle 2 Li, Qian 2 Mansini, Renata 2 Ogryczak, Włodzimierz 2 Scozzari, Andrea 2 Tardella, Fabio 2 Caldeira, João F. 1 Dai, Zhiwen 1 Filippi, C. 1 Filomena, Tiago Pascoal 1 Fontova, Marta Ines Velazco 1 Gnägi, M. 1 Guastaroba, G. 1 Hooshmand, F. 1 Huang, Qin 1 Huang, Xiaoxia 1 Kim, Saejoon 1 Li, Helong 1 Li, Lingfei 1 Oliveira, Estela Mara de 1 Rasouli, Z. 1 Sant'Anna, Leonardo Riegel 1 Souza, Renato Canil de 1 Speranza, M.G. 1 Strub, O. 1 Wu, Baiyi 1 Yang, Tingting 1
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Published in...
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Economics Bulletin 2 Finance research letters 2 Investment management and financial innovations 2 Omega : the international journal of management science 2 Applied economics 1 Economic Modelling 1 Economic modelling 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 Opsearch : journal of the Operational Research Society of India 1 Quantitative finance 1 Stochastic optimization: theory and applications 1 The North American journal of economics and finance : a journal of financial economics studies 1 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 1
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Source
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ECONIS (ZBW) 14 RePEc 4
Showing 1 - 10 of 18
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Deep learning for enhanced index tracking
Dai, Zhiwen; Li, Lingfei - In: Quantitative finance 24 (2024) 5, pp. 569-591
Persistent link: https://www.econbiz.de/10014552105
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Enhanced index tracking problem : a new optimization model and a sum-of-ratio based algorithm
Hooshmand, F.; Rasouli, Z. - In: Opsearch : journal of the Operational Research Society … 60 (2023) 3, pp. 1286-1311
Persistent link: https://www.econbiz.de/10014383784
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Two new mean-variance enhanced index tracking models based on uncertainty theory
Yang, Tingting; Huang, Xiaoxia - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013413571
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Improving the naive diversification : an enhanced indexation approach
Li, Helong; Huang, Qin; Wu, Baiyi - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012805514
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Deep time series forecasting for enhanced index tracking
Kim, Saejoon - In: Applied economics 53 (2021) 17, pp. 1916-1934
Persistent link: https://www.econbiz.de/10012500905
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Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: Stochastic optimization: theory and applications, (pp. 883-931). 2020
Persistent link: https://www.econbiz.de/10012290853
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Tracking and outperforming large stock-market indices
Gnägi, M.; Strub, O. - In: Omega : the international journal of management science 90 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012120826
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No arbitrage and a linear portfolio selection model
Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: Economics Bulletin 33 (2013) 2, pp. 1247-1258
We propose a linear bi-objective optimization approach to the problem of finding a portfolio that maximizes average excess return with respect to a benchmark index while minimizing underperformance over a learning period. We establish some theoretical results linking classical No Arbitrage...
Persistent link: https://www.econbiz.de/10010835988
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An analysis of a mean-variance enhanced index tracking problem with weights constraints
Paulo, Wanderlei Lima de; Fontova, Marta Ines Velazco; … - In: Investment management and financial innovations 15 (2018) 4, pp. 183-192
Persistent link: https://www.econbiz.de/10012055864
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A new stochastic dominance approach to enhanced index tracking problems
Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: Economics Bulletin 32 (2012) 4, pp. 3460-3470
Enhanced Index Tracking is the problem of selecting a portfolio that should generate excess return with respect to a … benchmark index. Here we propose a large-size linear optimization model for Enhanced Index Tracking that selects an optimal …
Persistent link: https://www.econbiz.de/10011278557
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