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Optimization Methods for Financial Index Tracking: From Theory to Practice
16 references·0 citing·46 second hop
Optimization Methods for Financial Index Tracking: From Theory to Practice (2018)Optimization Methods for Financial Index …Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China (2011)Intraday price discovery and …Sparse and stable Markowitz portfolios (2009)Sparse and stable Markowitz p…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Mixed-integer programming approaches for index tracking and enhanced indexation (2008)Mixed-integer programming app…Portfolio optimization with linear and fixed transaction costs (2006)Portfolio optimization with l…Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of…Value-at-risk in portfolio optimization: properties and computational approach (2005)Value-at-risk in portfolio op…Tail Conditional Expectations for Elliptical Distributions (2003)Tail Conditional Expectations…An evolutionary heuristic for the index tracking problem (2003)An evolutionary heuristic for…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior (2000)Predictability and Transactio…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Heuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…Coherent Measures of Risk (1999)Coherent Measures of RiskA Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Price Formation in U.S. Equity Index Markets (2003)Talk and Action: What Individual Investors Say and What They Do (2005)PORTFOLIO SELECTION* (1952)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Vast Portfolio Selection With Gross-Exposure Constraints (2012)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)Financial news predicts stock market volatility better than close price (2018)The Cross-Section of Expected Stock Returns (1992)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)Capital Allocation for Insurance Companies (2001)Correlation and Dependence (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Hierarchical Insurance Claims Modeling (2008)Optimal Capital Allocation Principles (2011)Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)An MCDM approach to portfolio optimization (2003)Simulated annealing for complex portfolio selection problems (2003)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Cryptocurrency trading: a comprehensive survey (2022)Common risk factors in the returns on stocks and bonds (1993)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Investor Psychology and Asset Pricing (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2000Heuristics for cardinality constrained portfolio optimisation927 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
  • 2009Sparse and stable Markowitz portfolios485 cited
  • 2003Tail Conditional Expectations for Elliptical Distributions386 cited
  • 2006Portfolio optimization with linear and fixed transaction costs350 cited
  • 2003An evolutionary heuristic for the index tracking problem340 cited
  • 2005Value-at-risk in portfolio optimization: properties and computational approach325 cited
  • 2008Mixed-integer programming approaches for index tracking and enhanced indexation244 cited
  • 2000Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior

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208 cited
  • 2011Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China203 cited
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