Index tracking is a popular form of passive fund management. The index tracking problem is
the problem of reproducing the performance of a stock market index, but without purchasing …

In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

A stochastic-optimization technique based on time series cluster analysis is described for
index tracking and enhanced index tracking problems. Our methodology solves the problem …

This paper proposes the nonnegative-lasso method for variable selection in high
dimensional sparse linear regression models with the nonnegative constraints on the …

The aim of this study was to compare the performance of the well-known genetic algorithms
and tabu search heuristics with the financial problem of the partial tracking of a stock market …

We investigate the performance of the threshold accepting heuristic for the index tracking
problem. The index tracking problem consists in minimizing the tracking error between a …

This paper deals with the model selection consistency of Nonnegative Elastic Net (proposed
by imposing nonnegative constraint to the regression parameters) in general setting where p …

Markowitz introduced the concept of portfolio selection based on return and variance.
Recognition that many investors evaluate performance relative to a benchmark led to the …

Enhanced index tracking is a popular strategy in portfolio management that focuses on
adding reliable value relative to the index on the basis of mimicking the behavior of the …

In this paper we describe the concept and design of a meta-heuristic based decision support
system generator (DSS-generator) for portfolio optimization. We report extensively on …