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… Expand
23 Citations
Index tracking optimization with cardinality constraint: a performance comparison of genetic algorithms and tabu search heuristics
  • 16
  • PDF
Index Tracking with Cardinality Constraints: A Stochastic Neural Networks Approach
  • PDF
Development of 2D curve-fitting genetic/gene-expression programming technique for efficient time-series financial forecasting
  • 3
  • PDF
Metaheuristics for rich portfolio optimisation and risk management: current state and future trends
  • 10
  • Highly Influenced
  • PDF
Development of a genetic programming-based GA methodology for the prediction of short-to-medium-term stock markets
  • 2
  • PDF
...
1
2
3
...

References

SHOWING 1-10 OF 43 REFERENCES
A Soft Computing Approach to Enhanced Indexation
  • N. Thomaidis
  • Computer Science
  • Natural Computing in Computational Finance
  • 2012
  • 9
Index tracking fund enhancement using evolving multi-criteria fuzzy decision models
  • 4
Enhanced index tracking based on multi-objective immune algorithm
  • 48
An evolutionary heuristic for the index tracking problem
  • 258
Optimal portfolio selection and dynamic benchmark tracking
  • 103
New concepts and algorithms for portfolio choice
  • 85
...
1
2
3
4
5
...