References
- AngelelliEMansiniRSperanzaMGKernel search: A general heuristic for the multi-dimensional knapsack problemComputers & Operations Research201037112017202610.1016/j.cor.2010.02.002
- AngelelliEMansiniRSperanzaMGKernel search: A new heuristic framework for portfolio selectionComputational Optimization and Applications201251134536110.1007/s10589-010-9326-6
- BeasleyJEOR-library: Distributing test problems by electronic mailJournal of the Operational Research Society199041111069107210.1057/jors.1990.166
- BeasleyJEMeadeNChangT-JAn evolutionary heuristic for the index tracking problemEuropean Journal of Operational Research2003148362164310.1016/S0377-2217(02)00425-3
- Ben-TalANemirovskiARobust convex optimizationMathematics of Operations Research199823476980510.1287/moor.23.4.769
- CanakgozNABeasleyJEMixed-integer programming approaches for index tracking and enhanced indexationEuropean Journal of Operational Research2009196138439910.1016/j.ejor.2008.03.015
- ChenCKwonRHRobust portfolio selection for index trackingComputers & Operations Research201239482983710.1016/j.cor.2010.08.019
- Di TolloGMaringerDMetaheuristics for the index tracking problemMetaheuristics in the Service Industry2009127154
- FabianCIMitraGRomanDZverovichVAn enhanced model for portfolio choice with SSD criteria: A constructive approachQuantitative Finance201111101525153410.1080/14697680903493607
- GarciaFGuijarroFMoyaIThe curvature of the tracking frontier: A new criterion for the partial index tracking problemMathematical and Computer Modelling2011547–81781178410.1016/j.mcm.2011.02.015
- Ghandar A, Michalewicz Z, Zurbruegg R and Cheong C (2010). Index tracking fund enhancement using evolving multi-criteria fuzzy decision models. In: 2010 IEEE Congress on Evolutionary Computation. IEEE: New York, pp 1–8.
- GuastarobaGSperanzaMGKernel search: An application to the index tracking problemEuropean Journal of Operational Research20122171546810.1016/j.ejor.2011.09.004
- HaoJNaimanDQQuantile Regression2007
- IBM ILOG Cplex Solver (2012). http://www-01.ibm.com/software/integration/optimization/cplex-optimizer/, accessed 21 April 2012.
- Jeurissen R and van den Berg J (2008). Optimized index tracking using a hybrid genetic algorithm. In: 2008 IEEE Congress on Evolutionary Computation. IEEE: New York, pp 2327–2334.
- Koenker R (2012). Package ‘quantreg’. http://cran.r-project.org/web/packages/quantreg/quantreg.pdf, accessed 21 April 2012.
- KoenkerRBassettGRegression quantilesEconometrica1978461335010.2307/1913643
- KoenkerRHallockKFQuantile regressionJournal of Economic Perspectives200115414315610.1257/jep.15.4.143
- KrinkTMittnikSPaterliniSDifferential evolution and combinatorial search for constrained index-trackingAnnals of Operations Research2009172115317610.1007/s10479-009-0552-1
- LejeuneMAGame theoretical approach for reliable enhanced indexationDecision Analysis20129214615510.1287/deca.1120.0239
- Lejeune MA and Samatlı-Paç G (2012). Construction of risk-averse enhanced index funds. INFORMS Journal on Computing, published online 27 November, doi: 10.1287/ijoc.1120.0533.
- LiQSunLBaoLEnhanced index tracking based on multi-objective immune algorithmExpert Systems with Applications20113856101610610.1016/j.eswa.2010.11.001
- Maringer D (2008). Constrained index tracking under loss aversion using differential evolution. In: Brabazon A and O'Neill M (eds). Natural Computing in Computational Finance: Studies in Computational Intelligence, Vol 100. Springer Verlag: Berlin, pp. 7–24.
- MaringerDOyewumiOIndex tracking with constrained portfoliosIntelligent Systems in Accounting, Finance and Management2007151–2577110.1002/isaf.285
- MarkowitzHPortfolio selectionJournal of Finance1952717791
- MeadeNBeasleyJEDetection of momentum effects using an index out-performance strategyQuantitative Finance201111231332610.1080/14697680903460135
- MetaxiotisKLiagkourasKMultiobjective evolutionary algorithms for portfolio management: A comprehensive literature reviewExpert Systems with Applications20123914116851169810.1016/j.eswa.2012.04.053
- Mezali H and Beasley JE (2012). Index tracking with fixed and variable transaction costs. Working paper, available from the second author at Mathematical Sciences, Brunel University, Uxbridge, UK. To appear in Optimization Letters.
- RomanDDarby-DowmanKMitraGPortfolio construction based on stochastic dominance and target return distributionsMathematical Programming20061082–354156910.1007/s10107-006-0722-8
- Roman D, Mitra G and Zviarovich V (2011). Enhanced indexation based on second-order stochastic dominance. Working paper, available from the first author at Mathematical Sciences, Brunel University, Uxbridge, UK.
- Ruiz-TorrubianoRSuarezAA hybrid optimization approach to index trackingAnnals of Operations Research20091661577110.1007/s10479-008-0404-4
- StornRPriceKDifferential evolution—A simple and efficient heuristic for global optimization over continuous spacesJournal of Global Optimization199711434135910.1023/A:1008202821328
- TabataYTakedaEBicriteria optimization problem of designing an index fundJournal of the Operational Research Society19954681023103210.1057/jors.1995.139
- Van MontfortKVisserEvan DraatLFIndex tracking by means of optimized samplingThe Journal of Portfolio Management200834214315110.3905/jpm.2008.701625
- WangMXuCXuFXueHA mixed 0–1 LP for index tracking problem with CVaR risk constraintsAnnals of Operations Research2012196159160910.1007/s10479-011-1042-9
- YuKLuZStanderJQuantile regression: Applications and current research areasThe Statistician2003523331350