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An index tracking model with stratified sampling and optimal allocation

  • Published:2017-10-16 Issue:2 Volume:34 Page:144-157
  • ISSN:1524-1904
  • Container-title:Applied Stochastic Models in Business and Industry
  • language:en
  • Short-container-title:Appl Stochastic Models Bus Ind

Author:

Wang Meihua1,Xu Fengmin2,Dai Yu-Hong3

Affiliation:

1. School of Economics and Management; Xidian University; Xi'an 710071 China

2. School of Economics and Finance; Xi'an Jiaotong University; Xi'an 710071 China

3. Academy of Mathematics and Systems Science; Chinese Academy of Sciences; Beijing 100190 China

Funder

National Natural Science Foundation of China

Postdoctoral Science Foundation of China

China National Funds for Distinguished Young Scientists

National 973 Program of China

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference28 articles.

1. Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios;Takeda;Comput Manage Sci,2013

2. Linear programming models based on omega ratio for the enhanced index tracking problem;Guastaroba;Eur J Operational Res,2016

3. Puelz D Carvalho CM Hahn PR Optimal etf selection for passive investing, arXiv preprint arXiv:1510.03385 2015

4. Index tracking by means of optimized sampling;Montfort;The J Portfolio Manage,2008

5. Optimal selection of passive portfolios;Rudd;Financial Manage,1980

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1. Index-tracking portfolio selection with background risk;Annals of Operations Research;2024-03-13

2. A modelling framework for equity portfolio projections under different carbon price scenarios;Journal of Climate Finance;2024-03

3. A systematic literature review on solution approaches for the index tracking problem;IMA Journal of Management Mathematics;2023-04-17

4. Sparse Risk Parity Enhanced Index Tracking Portfolio;SSRN Electronic Journal;2023

5. An enhanced GRASP approach for the index tracking problem;International Transactions in Operational Research;2022-06-16
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