Search Results - subject:"Index Tracking"

Market graph clustering via QUBO and digital annealing

Hong, Seo Woo; Miasnikof, Pierre; Kwon, Roy; Lawryshyn, Yuri - In: Journal of Risk and Financial Management 14 (2021) 1, pp. 1-13

We present a novel technique for cardinality-constrained index-tracking, a common task in the financial industry. Our … approach is based on market graph models. We model our reference indices as market graphs and express the index-tracking … modeling, to formulate the index-tracking problem as a binary quadratic K-medoid graph-clustering problem. Our initial results …

Persistent link: https://www.econbiz.de/10012611592

Market graph clustering via QUBO and digital annealing

Hong, Seo Woo; Miasnikof, Pierre; Kwon, Roy; Lawryshyn, Yuri - In: Journal of risk and financial management : JRFM 14 (2021) 1/34, pp. 1-13

Persistent link: https://www.econbiz.de/10012417719

Beta-adjusted covariance estimation

Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021

Persistent link: https://www.econbiz.de/10012432948

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

High-dimensional sparse index tracking based on a multi-step convex optimization approach

Shi, Fangquan; Shu, Lianjie; Luo, Yiling; Huo, Xiaoming - In: Quantitative finance 23 (2023) 9, pp. 1361-1372

Persistent link: https://www.econbiz.de/10014339936

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

Risk-allocation-based index tracking

Anis, Hassan T.; Costa, Giorgio; Kwon, Roy H. - In: Computers & operations research : and their … 154 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014308262

Effects of size on the exchange-traded funds performance

Paudel, Kiran; Naka, Atsuyuki - In: The journal of asset management : a major new, … 24 (2023) 6, pp. 474-484

Persistent link: https://www.econbiz.de/10014419525

A note on the estimation of minimum tracking error portfolios

Naibert, Paulo F.; Caldeira, João F.; Santos, André A. P. - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 209-214

Persistent link: https://www.econbiz.de/10012271404

Need to meet investment goals? : track synthetic indexes with the SDDP method

Reus, Lorenzo; Prado, Rodolfo - In: Computational economics 60 (2022) 1, pp. 47-69

Persistent link: https://www.econbiz.de/10013262419