eleven year out of sample performance analysis we find that for simple index tracking the additional feature of cointegration …

Index tracking aims at replicating a given benchmark with a smaller number of its constituents. Different quantitative … to tackle both optimisation problems. The empirical analysis on real-world financial data allows to compare the two index … tracking approaches.Moreover, we propose a strategy to determine the optimal number of constituents and the corresponding …

This paper presents two applications of cointegration based trading strategies: a classic index tracking strategy and a … long-short equity market neutral strategy. As opposed to other traditional index tracking or long-short equity strategies …-financing trading strategies, from index and enhanced index tracking, to long-short market neutral and alpha transfer techniques …

practical application, we demonstrate that our approach is effective in selecting index tracking portfolios in the UK Gilt …

A stochastic-optimization technique based on time series cluster analysis is described for index tracking and enhanced … index tracking problems. Our methodology solves the problem in two steps, i.e., by first selecting a subset of stocks and … show the importance of clustering in noise reduction and robust forecasting applications, in particular for enhanced index …

In this paper we investigate the performance of the threshold accepting heuristic for the index tracking problem. The … index tracking problem consists in minimizing the tracking error between a portfolio and a benchmark. The objective is to …