Abstract Accepted by: Giorgio Consigli The passive management approach offers
conservative investors a way to reduce risk concerning the market. This investment strategy …

Index funds aim to track the performance of a financial index, such as, eg, the Standard &
Poor's 500 index. Index funds have become popular because they offer attractive risk-return …

When a portfolio consists of a large number of assets, it generally incorporates too many
small and illiquid positions and needs a large amount of rebalancing, which can involve …

Deep learning has a strong ability to extract feature representations from data, since it has a
great advantage in processing nonlinear and non-stationary data and reflecting nonlinear …

Index tracking aims at replicating a given benchmark with a smaller number of its
constituents. Different quantitative models can be set up to determine the optimal index …

We consider the problem of index tracking whose goal is to construct a portfolio that
minimizes the tracking error between the returns of a benchmark index and the tracking …

Quantile regression differs from traditional least-squares regression in that one constructs
regression lines for the quantiles of the dependent variable in terms of the independent …

This paper addresses the problem of identifying optimal portfolio parameters in nonsparse
and sparse models. Generally, using the sample estimates to construct a mean–variance …

We focus on the stock selection step of the index tracking problem in passive investment
management and incorporate constant changes in the dynamics of markets into the …

This paper considers a portfolio selection problem with multiple risky assets where the
portfolio is managed to track a benchmark market barometer, such as the S&P 500 index. A …