subset, rather than the full set of index constituents. This paper modifies the SMC approach to index tracking to allow for …

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 …

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 …

Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a … difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the …