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An evolutionary heuristic for the index tracking problem

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  • Beasley, J. E.
  • Meade, N.
  • Chang, T. -J.

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  • Beasley, J. E. & Meade, N. & Chang, T. -J., 2003. "An evolutionary heuristic for the index tracking problem," European Journal of Operational Research, Elsevier, vol. 148(3), pages 621-643, August.
    • Handle: RePEc:eee:ejores:v:148:y:2003:i:3:p:621-643
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    References listed on IDEAS

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    1. Kenneth J. Worzel & Christiana Vassiadou-Zeniou & Stavros A. Zenios, 1994. "Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities," Operations Research, INFORMS, vol. 42(2), pages 223-233, April.
    2. Adcock, C. J. & Meade, N., 1994. "A simple algorithm to incorporate transactions costs in quadratic optimisation," European Journal of Operational Research, Elsevier, vol. 79(1), pages 85-94, November.
    3. Keim, Donald B., 1999. "An analysis of mutual fund design: the case of investing in small-cap stocks," Journal of Financial Economics, Elsevier, vol. 51(2), pages 173-194, February.
    4. Hodges, Stewart D, 1976. "Problems in the application of portfolio selection models," Omega, Elsevier, vol. 4(6), pages 699-709.
    5. Zenios, Stavros A. & Holmer, Martin R. & McKendall, Raymond & Vassiadou-Zeniou, Christiana, 1998. "Dynamic models for fixed-income portfolio management under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(10), pages 1517-1541, August.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    7. I. R. C. Buckley & R. Korn, 1998. "Optimal Index Tracking Under Transaction Costs and Impulse Control," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 315-330.
    8. Sid Browne, 1999. "Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark," Finance and Stochastics, Springer, vol. 3(3), pages 275-294.
    9. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 69(2), pages 133-157, April.
    10. Rudolf, Markus & Wolter, Hans-Jurgen & Zimmermann, Heinz, 1999. "A linear model for tracking error minimization," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 85-103, January.
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