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Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
7 references·4 citing·35 second hop
Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management (2003)Meta-heuristic based decision support for…An evolutionary heuristic for the index tracking problem (2003)An evolutionary heuristic for…Heuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…Empirical Insights on Indexing (1998)Empirical Insights on IndexingValue at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Optimal Selection of Passive Portfolios (1980)Optimal Selection of Passive …Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …A Biased-Randomized Iterated Local Search Algorithm for Rich Portfolio Optimization (2019)A Biased-Randomized Iterated …The mean-variance cardinality constrained portfolio optimization problem using a local search-based multi-objective evolutionary algorithm (2017)The mean-variance cardinality…Stock index tracking by Pareto efficient genetic algorithm (2013)Stock index tracking by Paret…Construction of Risk-Averse Enhanced Index Funds (2012)Construction of Risk-Averse E…Market and Industry Factors in Stock Price Behavior (1966)How to Use Security Analysis to Improve Portfolio Selection (1973)Tracking Error and Tactical Asset Allocation (2001)Tracking Error and Active Portfolio Management (2003)Enhanced Index Investing Based on Goal Programming (2007)PORTFOLIO SELECTION* (1952)Comparing Predictive Accuracy (1994)“Options, Futures, and Other Derivatives” (2016)Neural network with fixed noise for index-tracking portfolio optimization (2021)Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments (1959)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)Kernel Search: An application to the index tracking problem (2011)A Simplified Model for Portfolio Analysis (1963)On estimating the expected return on the market (1980)Common risk factors in the returns on stocks and bonds (1993)Complex portfolio selection via convex mixed‐integer quadratic programming: a survey (2018)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)Liquidity Preference as Behavior Towards Risk (1958)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)The New Institutionalism: Organizational Factors in Political Life (1983)Random matrix approach to cross correlations in financial data (2002)Tracking error: Ex ante versus ex post measures (2001)The Threshold Accepting Heuristic for Index Tracking (2002)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)
this work references cited by second hop

References

  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1972Portfolio Theory and Capital Markets.1,221 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 2000Heuristics for cardinality constrained portfolio optimisation927 cited
  • 2003An evolutionary heuristic for the index tracking problem340 cited
  • 1980Optimal Selection of Passive Portfolios71 cited
  • 1998Empirical Insights on Indexing64 cited

Cited by

  • 2019A Biased-Randomized Iterated Local Search Algorithm for Rich Portfolio Optimization38 cited
  • 2013Stock index tracking by Pareto efficient genetic algorithm38 cited
  • 2012Construction of Risk-Averse Enhanced Index Funds35 cited
  • 2017The mean-variance cardinality constrained portfolio optimization problem using a local search-based multi-objective evolutionary algorithm31 cited

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