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Differential evolution and combinatorial search for constrained index-tracking
Citations
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Cited by:
- Margherita Giuzio, 2017. "Genetic algorithm versus classical methods in sparse index tracking," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 243-256, November.
- Chiara Pederzoli & Costanza Torricelli, 2013. "Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0040, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Andriosopoulos, Kostas & Nomikos, Nikos, 2014. "Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets," European Journal of Operational Research, Elsevier, vol. 234(2), pages 571-582.
- Elisabetta Gualandri & Mario Noera, 2014. "Towards A Macroprudential Policy In The Eu: Main Issues," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0049, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Andriosopoulos, Kostas & Doumpos, Michael & Papapostolou, Nikos C. & Pouliasis, Panos K., 2013. "Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 16-34.
- Stelios Tsafarakis & Charalampos Saridakis & Nikolaos Matsatsinis & George Baltas, 2016. "Private labels and retail assortment planning: a differential evolution approach," Annals of Operations Research, Springer, vol. 247(2), pages 677-692, December.
- Elena Giarda & Gloria Moroni, 2018.
"The Degree of Poverty Persistence and the Role of Regional Disparities in Italy in Comparison with France, Spain and the UK,"
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 136(1), pages 163-202, February.
- Elena Giarda & Gloria Moroni, 2015. "‘It’s a trap!’ The degree of poverty persistence in Italy and Europe," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0055, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Beatrice Bertelli & Gianna Boero & Costanza Torricelli, 2021. "The market price of greenness A factor pricing approach for Green Bonds," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0083, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2013.
"Exact and heuristic approaches for the index tracking problem with UCITS constraints,"
Annals of Operations Research, Springer, vol. 205(1), pages 235-250, May.
- Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2012. "Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints," Department of Economics 0685, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2012. "Exact and heuristic approaches for the index tracking problem with UCITS constraints," Center for Economic Research (RECent) 081, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Elena Giarda & Gloria Moroni, 2018.
"The Degree of Poverty Persistence and the Role of Regional Disparities in Italy in Comparison with France, Spain and the UK,"
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement,
Springer, vol. 136(1), pages 163-202, February.
- Elena Giarda & Gloria Moroni, 2015. "‘It’s a trap!’ The degree of poverty persistence in Italy and Europe," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 15109, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Mahdi Moeini, 2022. "Solving the index tracking problem: a continuous optimization approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 807-835, June.
- Costanza Torricelli & Eleonora Pellati, 2022. "Social Bonds and the “Social Premiumâ€," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0085, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Doering, Jana & Kizys, Renatas & Juan, Angel A. & Fitó, Àngels & Polat, Onur, 2019. "Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends," Operations Research Perspectives, Elsevier, vol. 6(C).
- Ardia, David & Boudt, Kris & Carl, Peter & Mullen, Katharine M. & Peterson, Brian, 2010. "Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization," MPRA Paper 22135, University Library of Munich, Germany.
- Thiemo Krink & Sandra Paterlini, 2011. "Multiobjective optimization using differential evolution for real-world portfolio optimization," Computational Management Science, Springer, vol. 8(1), pages 157-179, April.
- Stefano Cosma & Elisabetta Gualandri, 2013. "The sovereign debt crisis: the impact on the intermediation model of Italian banks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0042, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- C. Pederzoli & C. Torricelli, 2013.
"Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 23(24), pages 1853-1863, December.
- Chiara Pederzoli & Costanza Torricelli, 2013. "Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 13091, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Meihua Wang & Chengxian Xu & Fengmin Xu & Hongang Xue, 2012. "A mixed 0–1 LP for index tracking problem with CVaR risk constraints," Annals of Operations Research, Springer, vol. 196(1), pages 591-609, July.
- Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015.
"Backward/forward optimal combination of performance measures for equity screening,"
The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
- Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
- Chiara Pederzoli & Costanza Torricelli, 2019. "The impact of the Fundamental Review of the Trading Book: A preliminary assessment on a stylized portfolio," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0075, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Stefano Cosma & Elisabetta Gualandri, 2014.
"The sovereign debt crisis: the impact on the intermediation model of Italian banks,"
BANCARIA,
Bancaria Editrice, vol. 2, pages 48-60, February.
- Stefano Cosma & Elisabetta Gualandri, 2013. "The sovereign debt crisis: the impact on the intermediation model of Italian banks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 13102, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Elisabetta Gualandri, 2011. "Basel 3, Pillar 2: the role of banks’ internal governance and control function," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0027, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Elisabetta Gualandri & Mario Noera, 2014. "Monitoring Systemic Risk: A Survey Of The Available Macroprudential Toolkit," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0050, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Elisabetta Gualandri & Mario Noera, 2014. "Towards A Macroprudential Policy In The Eu: Main Issues," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 14110, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Massimo Baldini & Giovanni Gallo & Costanza Torricelli, 2017. "Past Income Scarcity and Current Perception of Financial Fragility," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 17121, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Marianna Brunetti & Roberta De Luca, 2023.
"Pre-selection in cointegration-based pairs trading,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(5), pages 1611-1640, December.
- Marianna Brunetti & Roberta De Luca, 2020. "Pre-selection in Cointegration-based Pairs Trading," CEIS Research Paper 500, Tor Vergata University, CEIS, revised 10 Mar 2021.
- Marianna Brunetti & Roberta de Luca, 2022. "Pre-selection in cointegration-based pairs trading," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0089, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Enrico Rubaltelli & Sergio Agnoli & Michela Rancan & Tiziana Pozzoli, 2015. "Emotional Intelligence and risk taking in investment decision-making," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 15107, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Sant’Anna, Leonardo R. & Filomena, Tiago P. & Caldeira, João F., 2017. "Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 146-157.
- Leonardo Riegel Sant’Anna & Tiago Pascoal Filomena & Pablo Cristini Guedes & Denis Borenstein, 2017. "Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming," Annals of Operations Research, Springer, vol. 258(2), pages 849-867, November.
- Francesca Arnaboldi, Francesca Gioia, 2019. "Portfolio choice: Evidence from new-borns," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0078, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Gnägi, M. & Strub, O., 2020. "Tracking and outperforming large stock-market indices," Omega, Elsevier, vol. 90(C).
- Chen, Wei, 2015. "Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 125-139.
- Jules Clement Mba & Sutene Mwambi, 2020. "A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 199-214, June.
- Elisabetta Gualandri & Valeria Venturelli, 2013. "The financing of Italian firms and the credit crunch: findings and exit strategies," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 13101, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Liang-chuan Wu & I-chan Tsai, 2014. "Three fuzzy goal programming models for index portfolios," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(8), pages 1155-1169, August.
- Dean Altshuler & Carlo Alberto Magni, 2015. "Introducing Aggregate Return on Investment as a Solution to the Contradiction Between Some PME Metrics and IRR," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0056, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- Bj�rn Fastrich & Sandra Paterlini & Peter Winker, 2014.
"Cardinality versus q -norm constraints for index tracking,"
Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 2019-2032, November.
- Bjoern Fastrich & Sandra Paterlini & Peter Winker, 2011. "Cardinality versus q-Norm Constraints for Index Tracking," Center for Economic Research (RECent) 056, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Bjöern Fastrich & Sandra Paterlini & Peter Winker, 2011. "Cardinality versus q-Norm Constraints for Index Tracking," Department of Economics 0642, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Elisabetta Gualandri & Valeria Venturelli, 2013. "The financing of Italian firms and the credit crunch: findings and exit strategies," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0041, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Massimo Baldini & Giovanni Gallo & Costanza Torricelli, 2017. "Past Income Scarcity and Current Perception of Financial Fragility," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0064, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- H Mezali & J E Beasley, 2013. "Quantile regression for index tracking and enhanced indexation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 64(11), pages 1676-1692, November.
- Carlo Alberto Magni, 2015. "Pseudo-naïve approaches to investment performance measurement," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0051, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Jules Clement Mba & Edson Pindza & Ur Koumba, 2018. "A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 399-418, November.
- Emilio Ricardo Carvalhais & Antonio Marcos Duarte Júnior, 2015. "Indexation of Fixed-Income Portfolios to the IMA-B," Brazilian Business Review, Fucape Business School, vol. 12(3), pages 116-142, May.
- Costanza Torricelli & Fabio Ferrari, 2022. "Climate Stress Test: bad (or good) news for the market? An Event Study Analysis on Euro Zone Banks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0086, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Gabriele Torri & Rosella Giacometti & Sandra Paterlini, 2024. "Penalized enhanced portfolio replication with asymmetric deviation measures," Annals of Operations Research, Springer, vol. 332(1), pages 481-531, January.
- Carlo Alberto Magni, 2015. "Pseudo-naïve approaches to investment performance measurement," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 15021, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Stefano Cosma & Francesca Pancotto & Paola Vezzani, 2018. "Customer Complaining and Probability of Default in Consumer Credit," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 18031, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Björn Fastrich & Peter Winker, 2014. "Combining Forecasts with Missing Data: Making Use of Portfolio Theory," Computational Economics, Springer;Society for Computational Economics, vol. 44(2), pages 127-152, August.
- Elisabetta Gualandri & Mario Noera, 2014. "Monitoring Systemic Risk: A Survey Of The Available Macroprudential Toolkit," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 14111, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Chiara Pederzoli & Costanza Torricelli, 2010. "A parsimonious default prediction model for Italian SMEs," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0022, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Enrico Rubaltelli & Sergio Agnoli & Michela Rancan & Tiziana Pozzoli, 2015. "Emotional Intelligence and risk taking in investment decision-making," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0053, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Miguel A. Lejeune & Gülay Samatlı-Paç, 2013. "Construction of Risk-Averse Enhanced Index Funds," INFORMS Journal on Computing, INFORMS, vol. 25(4), pages 701-719, November.
- Chiara Pederzoli & Costanza Torricelli, 2010. "A parsimonious default prediction model for Italian SMEs," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 10061, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Costanza Torricelli & Beatrice Bertelli, 2022. "ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0088, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Stefano Cosma & Francesca Pancotto & Paola Vezzani, 2018. "Customer Complaining and Probability of Default in Consumer Credit," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0068, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".