Differential evolution and combinatorial search for constrained index-tracking
نویسندگان
چکیده
منابع مشابه
Differential evolution and combinatorial search for constrained index-tracking
Index tracking is a valuable low-cost alternative to active portfolio management. The implementation of a quantitative approach, however, is a great challenge from an optimization perspective: the optimal selection of a group of assets that can replicate the index of a much larger portfolio requires both to find the optimal asset positions and to fine-tune their allocation weights. The former i...
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Index tracking is concerned with forming a portfolio that mimics a benchmark index as closely as possible. Traditionally, this implies that the returns between the index and the portfolio should differ as little as possible. However, investors might happily accept positive deviations (ie, returns higher than the index’s) while being particularly concerned with negative deviations. In this chapt...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2009
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-009-0552-1