A systematic literature review on solution approaches for the index tracking problem
JCS Silva, AT de Almeida Filho - IMA Journal of Management …, 2024 - academic.oup.com
Abstract Accepted by: Giorgio Consigli The passive management approach offers
conservative investors a way to reduce risk concerning the market. This investment strategy …
conservative investors a way to reduce risk concerning the market. This investment strategy …
A systematic literature review on solution approaches for the index tracking problem in the last decade
JCS Silva - arXiv preprint arXiv:2306.01660, 2023 - arxiv.org
The passive management approach offers conservative investors a way to reduce risk
concerning the market. This investment strategy aims at replicating a specific index, such as …
concerning the market. This investment strategy aims at replicating a specific index, such as …
Asset allocation via machine learning and applications to equity portfolio management
In this paper, we document a novel machine learning based bottom-up approach for static
and dynamic portfolio optimization on, potentially, a large number of assets. The …
and dynamic portfolio optimization on, potentially, a large number of assets. The …
[PDF][PDF] Asset allocation via machine learning
In this paper, we document a novel machine learning-based numerical framework to solve
static and dynamic portfolio optimization problems, with, potentially, an extremely large …
static and dynamic portfolio optimization problems, with, potentially, an extremely large …
Index tracking model through an enhanced GRASP approach for the financial portfolio problem
JCS Silva - 2020 - repositorio.ufpe.br
Financial portfolio optimization problems may become computationally infeasible when
some practical constraints are considered in the model. In these circumstances, it is difficult …
some practical constraints are considered in the model. In these circumstances, it is difficult …