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Index tracking through deep latent representation learning
16 references·3 citing·36 second hop
Index tracking through deep latent representation learning (2019)Index tracking through deep latent repres…A deep learning framework for financial time series using stacked autoencoders and long-short term memory (2017)A deep learning framework for…Kernel Search: An application to the index tracking problem (2011)Kernel Search: An application…Forecasting the volatility of stock price index (2006)Forecasting the volatility of…Portfolio selection using neural networks (2005)Portfolio selection using neu…Using genetic algorithm to support portfolio optimization for index fund management (2004)Using genetic algorithm to su…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Optimal portfolio selection and dynamic benchmark tracking (2004)Optimal portfolio selection a…An evolutionary heuristic for the index tracking problem (2003)An evolutionary heuristic for…Tracking S&P 500 Index Funds (2001)Tracking S&P 500 Index FundsHeuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…A linear model for tracking error minimization (1999)A linear model for tracking e…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Novel Deep Reinforcement Algorithm With Adaptive Sampling Strategy for Continuous Portfolio Optimization (2021)Novel Deep Reinforcement Algo…Neural network with fixed noise for index-tracking portfolio optimization (2021)Neural network with fixed noi…Stock-Index Tracking Optimization Using Auto-Encoders (2020)Stock-Index Tracking Optimiza…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments (1959)Modern Portfolio Theory and Investment Analysis. (1982)Clustering of financial time series with application to index and enhanced index tracking portfolio (2005)Mixed-integer programming approaches for index tracking and enhanced indexation (2008)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Forecasting stock market movement direction with support vector machine (2004)CNNpred: CNN-based stock market prediction using a diverse set of variables (2019)Temporal Relational Ranking for Stock Prediction (2019)Applications of deep learning in stock market prediction: Recent progress (2021)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)Particle swarm optimization approach to portfolio optimization (2008)Twenty years of linear programming based portfolio optimization (2013)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Political connections and the cost of equity capital (2012)Impact of ESG factors on firm risk in Europe (2016)On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)The Gambler's and Hot-Hand Fallacies: Theory and Applications (2009)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • 2017A deep learning framework for financial time series using stacked autoencoders and long-short term memory1,131 cited
  • 2000Heuristics for cardinality constrained portfolio optimisation927 cited
  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • 2003An evolutionary heuristic for the index tracking problem340 cited
  • 2005Portfolio selection using neural networks310 cited
  • 2006Forecasting the volatility of stock price index236 cited
  • 2001Tracking S&P 500 Index Funds201 cited
  • 1999A linear model for tracking error minimization199 cited
  • 2004Using genetic algorithm to support portfolio optimization for index fund management181 cited
  • 2011Kernel Search: An application to the index tracking problem171 cited

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2004
Optimal portfolio selection and dynamic benchmark tracking
139 cited

Cited by

  • 2021Novel Deep Reinforcement Algorithm With Adaptive Sampling Strategy for Continuous Portfolio Optimization33 cited
  • 2021Neural network with fixed noise for index-tracking portfolio optimization32 cited
  • 2020Stock-Index Tracking Optimization Using Auto-Encoders31 cited