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An evolutionary heuristic for the index tracking problem

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References

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2008Mixed-integer programming approaches for index tracking and enhanced indexation244 cited
2011Kernel Search: An application to the index tracking problem171 cited
2005Clustering of financial time series with application to index and enhanced index tracking portfolio150 cited
2012Evaluating the Performance of Emerging Markets Equity Exchange-Traded Funds110 cited
2013Enhanced indexation based on second-order stochastic dominance103 cited
2008A hybrid optimization approach to index tracking101 cited
2005Factor based index tracking95 cited

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2007Index tracking with constrained portfolios95 cited

2015Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem91 cited

2017Sparse Portfolios for High-Dimensional Financial Index Tracking89 cited

2006A data-driven optimization heuristic for downside risk minimization89 cited

2019Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends86 cited

2010Robust portfolio selection for index tracking86 cited

2020Incorporating environmental and social considerations into the portfolio optimization process85 cited

2017Optimal construction and rebalancing of index-tracking portfolios77 cited

2002The Threshold Accepting Heuristic for Index Tracking73 cited