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An evolutionary heuristic for the index tracking problem · Study

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ArticleAn evolutionary heuristic for the index tracking problem

J. E. Beasley2003

Article2003

An evolutionary heuristic for the index tracking problem

J. E. Beasley · Nigel Meade · Tun-Jen Chang

340 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Metaheuristic Optimization Algorithms Research

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References

1959Portfolio Selection: Efficient Diversification of Investments 1952Portfolio Selection 1982Modern Portfolio Theory and Investment Analysis.1996Another Puzzle: The Growth in Actively Managed Mutual Funds 1996The Persistence of Risk-Adjusted Mutual Fund Performance 1992A Mean/Variance Analysis of Tracking Error 1998Derivatives: The Theory and Practice of Financial Engineering 1996Another Puzzle: The Growth in Actively Managed Mutual Funds

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2008Mixed-integer programming approaches for index tracking and enhanced indexation 2011Kernel Search: An application to the index tracking problem 2005Clustering of financial time series with application to index and enhanced index tracking portfolio 2012Evaluating the Performance of Emerging Markets Equity Exchange-Traded Funds 2013Enhanced indexation based on second-order stochastic dominance 2008A hybrid optimization approach to index tracking

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Details

Year2003

Typearticle

Published2003-04-30

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations340

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0377-2217(02)00425-3

openalex_workW2014718552

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2007Index tracking with constrained portfolios

2005Factor based index tracking