Assessing the interactions amongst index tracking model formulations and genetic algorithm approaches with different rebalancing strategies

Author:

de Amorim Thiago Wanderley,Silva Julio Cezar SoaresORCID,de Almeida Filho Adiel TeixeiraORCID

Funder

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Publisher

Springer Science and Business Media LLC

Subject

Geometry and Topology,Theoretical Computer Science,Software

Reference74 articles.

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3. B3 (2023) B3 - ibovespa. http://www.b3.com.br/pt_br/market-data-e-indices/indices/indices-amplos/ibovespa.htm, accessed: 2021-09-10

4. Beasley J, Meade N, Chang TJ (2003) An evolutionary heuristic for the index tracking problem. Euro J Oper Res 148:621–643

5. Benidis K, Feng Y, Palomar DP (2018) Sparse Portfolios for High-Dimensional Financial Index Tracking. IEEE Trans Signal Process 66(1):155–170

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