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High-dimensional index tracking based on the adaptive elastic net
16 references·0 citing·37 second hop
High-dimensional index tracking based on the adaptive elastic net (2020)High-dimensional index tracking based on …Sparse Portfolios for High-Dimensional Financial Index Tracking (2017)Sparse Portfolios for High-Di…Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (2013)Solving norm constrained port…Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (2012)Simultaneous pursuit of out-o…Exact and heuristic approaches for the index tracking problem with UCITS constraints (2012)Exact and heuristic approache…Cardinality versusq-norm constraints for index tracking (2012)Cardinality versusq-norm cons…Kernel Search: An application to the index tracking problem (2011)Kernel Search: An application…Mixed-integer programming approaches for index tracking and enhanced indexation (2008)Mixed-integer programming app…A hybrid optimization approach to index tracking (2008)A hybrid optimization approac…Index tracking with constrained portfolios (2007)Index tracking with constrain…Indexing and Statistical Arbitrage (2005)Indexing and Statistical Arbi…Using genetic algorithm to support portfolio optimization for index fund management (2004)Using genetic algorithm to su…An evolutionary heuristic for the index tracking problem (2003)An evolutionary heuristic for…Optimal Benchmark Tracking with Small Portfolios (2002)Optimal Benchmark Tracking wi…Integrated simulation and optimization models for tracking international fixed income indices (2001)Integrated simulation and opt…Heuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…A linear model for tracking error minimization (1999)A linear model for tracking e…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)An emerging equilibrium in the EU emissions trading scheme (2010)Robust portfolio selection for index tracking (2010)Mean–variance portfolio selection of cointegrated assets (2011)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Portfolio optimization with linear and fixed transaction costs (2006)Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends (2019)PORTFOLIO SELECTION* (1952)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Product-form design model based on genetic algorithms (2010)CAST: Using neural networks to improve trading systems based on technical analysis by means of the RSI financial indicator (2011)A brief review of portfolio optimization techniques (2022)Portfolio Selection (1952)Modern Portfolio Theory and Investment Analysis. (1982)Clustering of financial time series with application to index and enhanced index tracking portfolio (2005)Optimal rules for ordering uncertain prospects (1975)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Robust portfolio selection using linear-matrix inequalities (2002)Enhanced indexation based on second-order stochastic dominance (2013)Why Not Diversify Internationally Rather Than Domestically? (1974)A Mean/Variance Analysis of Tracking Error (1992)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Optimal construction and rebalancing of index-tracking portfolios (2017)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)A heuristic for BILP problems: The Single Source Capacitated Facility Location Problem (2014)Minimax and Biobjective Portfolio Selection Based on Collaborative Neurodynamic Optimization (2020)Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization (2021)Diversity-Weighted Indexing (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)A new method for mean-variance portfolio optimization with cardinality constraints (2012)Portfolio rebalancing with an investment horizon and transaction costs (2012)
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References

  • 2000Heuristics for cardinality constrained portfolio optimisation927 cited
  • 2003An evolutionary heuristic for the index tracking problem340 cited
  • 2008Mixed-integer programming approaches for index tracking and enhanced indexation244 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
  • 2005Indexing and Statistical Arbitrage109 cited
  • 2002Optimal Benchmark Tracking with Small Portfolios104 cited
  • 2008A hybrid optimization approach to index tracking101 cited
  • 2007Index tracking with constrained portfolios95 cited
  • 2017Sparse Portfolios for High-Dimensional Financial Index Tracking89 cited
  • 2012Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios76 cited
  • 2012Cardinality versusq-norm constraints for index tracking67 cited
  • 2012Exact and heuristic approaches for the index tracking problem with UCITS constraints61 cited
  • 2013Solving norm constrained portfolio optimization via coordinate-wise descent algorithms

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59 cited
  • 2001Integrated simulation and optimization models for tracking international fixed income indices44 cited
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