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A nonlinear conjugate gradient method for a special class of matrix optimization problems
A hybrid approach for index tracking with practical constraints
1. | Institute of Systems Science, Chinese Academy of Science, Beijing 100190, China, China |
2. | Department of Finance and Investment, Sun Yat-Sen University, Guangzhou 510275, China |
3. | School of Mathematical Sciences, South China Normal University, Guangzhou, 510631 |
References:
[1] |
E. Aarts and J. Korst, Selected topics in simulated annealing,, in Essays and Surveys in Metaheuristics (eds. C. C. Ribeiro and P. Hansen) (Angra dos Reis, (1999), 1.
doi: 10.1007/978-1-4615-1507-4_1. |
[2] |
J. E. Beasley, OR-Library: Distributing test problems by electronic mail,, Journal of the Operational Research Society, 41 (1990), 1069. Google Scholar |
[3] |
J. E. Beasley, N. Meade and T.-J. Chang, An evolutionary heuristic for the index tracking problem,, European Journal of Operation Research, 148 (2003), 621.
doi: 10.1016/S0377-2217(02)00425-3. |
[4] |
S. Browne, Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark,, Finance and Stochastics, 3 (1999), 275.
doi: 10.1007/s007800050063. |
[5] |
T.-J. Chang, N. Mead, J. E. Beasley and Y. M. Sharaiha, Heuristics for cardinality constrained portfolio optimisation,, Computers and Operations Research, 27 (2000), 1271. Google Scholar |
[6] |
N. A. Canakgoz and J. E. Beasley, Mixed-integer programming approaches for index tracking and enhanced indexation,, European Journal of Operational Research, 196 (2009), 384.
doi: 10.1016/j.ejor.2008.03.015. |
[7] |
E. Çinlar, Introduction to Stochastic Processes,, Prentice-Hall, (1975).
|
[8] |
R. Flethcer, Ageneral quadratic programming algorithm,, J. Inst. Math. Appl., 7 (1971), 76.
|
[9] |
M. Gill and E. Këllezi, Threshold Accepting for Index Tracking,, Computing in Economics and Finance Series, (2001). Google Scholar |
[10] |
J. H. Holland, Adaption in Natural and Artificial Systems. An Introductory Analysis with Applications to Biology, Control, and Artificial Intelligence,, University of Michigan Press, (1975).
|
[11] |
R. Horst, A general class of branch-and-bound methods in global optimization with some new approaches for concave minimization,, Journal of Optimization Theory and Applications, 51 (1986), 271.
doi: 10.1007/BF00939825. |
[12] |
L. Ingber, Simulated annealing: Practice versus theory,, Mathematical and Computer Modelling, 18 (1993), 29.
doi: 10.1016/0895-7177(93)90204-C. |
[13] |
S. Kirkpatrick, C. D. Gelatt, Jr. and M. P. Vecchi, Optimization by simulated annealing,, Science, 220 (1983), 671.
doi: 10.1126/science.220.4598.671. |
[14] |
P. J. Laarhoven and E. H. Aarts, Simulated Annealing: Theory and Applications,, Mathematics and its Applications, (1997). Google Scholar |
[15] |
H. Markowitz, Mean-Variance Analysis in Portfolio Choice and Captial Markets,, Basil Blackwell, (1987).
|
[16] |
R. Moral-Escudero, R. Ruiz-Torrubiano and A. Suárez, Selection of optimal investment portfolio with cardinality constraints,, in Proceedings of the IEEE Congress on Evolutionary Computation, (2006), 2382. Google Scholar |
[17] |
I. H. Osman and J. P. Kelly, eds., Meta-Heuristics: Theory & Applications,, Papers from the 1995 International Conference (MIC) held in Breckenridge, (1995).
|
[18] |
A. F. Perold, C. D. Gelatt and M. P. Vecchi, Dynamic strategies for asset allocation,, Financial Analysis Journal, 44 (1988), 17. Google Scholar |
[19] |
R. Ruiz-Torrubiano and A. Suárez, A hybrid optimization approach to index tracking,, Anneals of Operation Research, 166 (2009), 57.
doi: 10.1007/s10479-008-0404-4. |
[20] |
J. Shapcott, Index Tracking: Genetic Algorithms for Investment Portfolio Selection,, Technical Report EPCC-SS92-24, (1992), 92. Google Scholar |
[21] |
C. M. S. Sutcliffe, Stock Index Futures: Theories and International Evidence,, 2nd edition, (1997). Google Scholar |
show all references
References:
[1] |
E. Aarts and J. Korst, Selected topics in simulated annealing,, in Essays and Surveys in Metaheuristics (eds. C. C. Ribeiro and P. Hansen) (Angra dos Reis, (1999), 1.
doi: 10.1007/978-1-4615-1507-4_1. |
[2] |
J. E. Beasley, OR-Library: Distributing test problems by electronic mail,, Journal of the Operational Research Society, 41 (1990), 1069. Google Scholar |
[3] |
J. E. Beasley, N. Meade and T.-J. Chang, An evolutionary heuristic for the index tracking problem,, European Journal of Operation Research, 148 (2003), 621.
doi: 10.1016/S0377-2217(02)00425-3. |
[4] |
S. Browne, Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark,, Finance and Stochastics, 3 (1999), 275.
doi: 10.1007/s007800050063. |
[5] |
T.-J. Chang, N. Mead, J. E. Beasley and Y. M. Sharaiha, Heuristics for cardinality constrained portfolio optimisation,, Computers and Operations Research, 27 (2000), 1271. Google Scholar |
[6] |
N. A. Canakgoz and J. E. Beasley, Mixed-integer programming approaches for index tracking and enhanced indexation,, European Journal of Operational Research, 196 (2009), 384.
doi: 10.1016/j.ejor.2008.03.015. |
[7] |
E. Çinlar, Introduction to Stochastic Processes,, Prentice-Hall, (1975).
|
[8] |
R. Flethcer, Ageneral quadratic programming algorithm,, J. Inst. Math. Appl., 7 (1971), 76.
|
[9] |
M. Gill and E. Këllezi, Threshold Accepting for Index Tracking,, Computing in Economics and Finance Series, (2001). Google Scholar |
[10] |
J. H. Holland, Adaption in Natural and Artificial Systems. An Introductory Analysis with Applications to Biology, Control, and Artificial Intelligence,, University of Michigan Press, (1975).
|
[11] |
R. Horst, A general class of branch-and-bound methods in global optimization with some new approaches for concave minimization,, Journal of Optimization Theory and Applications, 51 (1986), 271.
doi: 10.1007/BF00939825. |
[12] |
L. Ingber, Simulated annealing: Practice versus theory,, Mathematical and Computer Modelling, 18 (1993), 29.
doi: 10.1016/0895-7177(93)90204-C. |
[13] |
S. Kirkpatrick, C. D. Gelatt, Jr. and M. P. Vecchi, Optimization by simulated annealing,, Science, 220 (1983), 671.
doi: 10.1126/science.220.4598.671. |
[14] |
P. J. Laarhoven and E. H. Aarts, Simulated Annealing: Theory and Applications,, Mathematics and its Applications, (1997). Google Scholar |
[15] |
H. Markowitz, Mean-Variance Analysis in Portfolio Choice and Captial Markets,, Basil Blackwell, (1987).
|
[16] |
R. Moral-Escudero, R. Ruiz-Torrubiano and A. Suárez, Selection of optimal investment portfolio with cardinality constraints,, in Proceedings of the IEEE Congress on Evolutionary Computation, (2006), 2382. Google Scholar |
[17] |
I. H. Osman and J. P. Kelly, eds., Meta-Heuristics: Theory & Applications,, Papers from the 1995 International Conference (MIC) held in Breckenridge, (1995).
|
[18] |
A. F. Perold, C. D. Gelatt and M. P. Vecchi, Dynamic strategies for asset allocation,, Financial Analysis Journal, 44 (1988), 17. Google Scholar |
[19] |
R. Ruiz-Torrubiano and A. Suárez, A hybrid optimization approach to index tracking,, Anneals of Operation Research, 166 (2009), 57.
doi: 10.1007/s10479-008-0404-4. |
[20] |
J. Shapcott, Index Tracking: Genetic Algorithms for Investment Portfolio Selection,, Technical Report EPCC-SS92-24, (1992), 92. Google Scholar |
[21] |
C. M. S. Sutcliffe, Stock Index Futures: Theories and International Evidence,, 2nd edition, (1997). Google Scholar |
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