Stock index tracking by Pareto efficient genetic algorithm

@article{Ni2013StockIT,
  title={Stock index tracking by Pareto efficient genetic algorithm},
  author={He Ni and Yongqiao Wang},
  journal={Appl. Soft Comput.},
  year={2013},
  volume={13},
  pages={4519-4535}
}
This paper proposes a heuristic searching approach on construction of a tracking portfolio, which is able to get the average market return and can even outperform some hedge funds that are managed actively. The tracking portfolio is expected to replicate the performance of a benchmark index return with a part of its component stocks while reducing the cost of transaction by limiting the number of rebalancing and unnecessary investment on less influential component stocks. The mathematical model… CONTINUE READING

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