Search Results - subject:"Index Tracking"

Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios

Takeda, Akiko; Niranjan, Mahesan; Gotoh, Jun-ya; … - In: Computational Management Science 10 (2013) 1, pp. 21-49

Index tracking is a passive investment strategy in which a fund (e.g., an ETF: exchange traded fund) manager purchases …

Persistent link: https://www.econbiz.de/10010634340

Enhanced indexation based on second-order stochastic dominance

Roman, Diana; Mitra, Gautam; Zverovich, Victor - In: European Journal of Operational Research 228 (2013) 1, pp. 273-281

. Thus, they do not present the computational difficulty normally associated with index tracking models. Finally, the SSD …

Persistent link: https://www.econbiz.de/10010662534

Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms

Andriosopoulos, Kostas; Doumpos, Michael; Papapostolou, … - In: Transportation Research Part E: Logistics and … 52 (2013) C, pp. 16-34

shipping indexes by investing only in US stock portfolios. The index-tracking problem is addressed using the differential …

Persistent link: https://www.econbiz.de/10010755118

A heuristic approach to the index tracking problem : a case study of the Tehran Exchange Price Index

Varsei, Mohsen; Shams, Naser; Fahimnia, Behnam; … - In: Asian Academy of Management journal : AAMJ 18 (2013) 1, pp. 19-34

Persistent link: https://www.econbiz.de/10010256986

Quantile regression for index tracking and enhanced indexation

Mezali, H.; Beasley, John E. - In: Journal of the Operational Research Society : OR 64 (2013) 11, pp. 1676-1629

Persistent link: https://www.econbiz.de/10010207756

A multiobjective model for passive portfolio management : an application on the S&P 100 index

García, Fernando; Guijarro, Francisco; Moya, Ismael - In: Journal of business economics and management 14 (2013) 4, pp. 758-775

Persistent link: https://www.econbiz.de/10010188972

Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms

Andriosopoulos, Kostas; Doumpos, Michael; Papapostolou, … - In: Transportation research / E : an international journal 52 (2013), pp. 16-34

Persistent link: https://www.econbiz.de/10009735738

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

Scozzari, Andrea; Tardella, Fabio; Paterlini, Sandra; … - Dipartimento di Economia "Marco Biagi", Università … - 2012

Index tracking aims at determining an optimal portfolio that replicates the performance of an index or benchmark by … Mixed Integer Quadratic Programming (MIQP) formulation for the constrained index tracking problem with the UCITS rules … for Index Tracking (DECS-IT), obtaining information about the heuristic performance and its reliability for the solution …

Persistent link: https://www.econbiz.de/10010584054

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

Scozzari, Andrea; Tardella, Fabio; Paterlini, Sandra; … - Dipartimento di Economia "Marco Biagi", Università … - 2012

Persistent link: https://www.econbiz.de/10010551103

Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking

Colwell, D.; El-Hassan, Nadima; Kwon, Oh-Kang - Finance Discipline Group, Business School - 2004

strategies for index tracking is established, and leads to a simple criterion for the selection of optimal set of assets from …. The necessary and sufficient conditions under which this is possible are obtained, and applied to the problem of index … tracking. In particular, a close connection between the local risk-minimising and the tracking error variance minimising …

Persistent link: https://www.econbiz.de/10005041739