Risk-allocation-based index tracking

Author:

Anis Hassan T.,Costa GiorgioORCID,Kwon Roy H.ORCID

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

Elsevier BV

Subject

Management Science and Operations Research,Modeling and Simulation,General Computer Science

Reference61 articles.

1. The mean–variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms;Anagnostopoulos;Expert Syst. Appl.,2011

2. A sparse regression and neural network approach for financial factor modelling;Anis;Appl. Soft Comput.,2021

3. Cardinality-constrained risk parity portfolios;Anis;European J. Oper. Res.,2022

4. Least-squares approach to risk parity in portfolio selection;Bai;Quant. Finance,2016

5. An evolutionary heuristic for the index tracking problem;Beasley;European J. Oper. Res.,2003

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. End-to-end, decision-based, cardinality-constrained portfolio optimization;European Journal of Operational Research;2024-09

2. HIT: Solving Partial Index Tracking via Hierarchical Reinforcement Learning;2024 IEEE 40th International Conference on Data Engineering (ICDE);2024-05-13

3. Using GAN-generated market simulations to guide genetic algorithms in index tracking optimization;Applied Soft Computing;2023-09

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