Asset pre-selection for a cardinality constrained index tracking portfolio with optional enhancement
Fuente:
arXiv
Guardado en:
| Autores principales: | Meade, N., Valle, C. A., Beasley, J. E. |
|---|---|
| Formato: | Preprint |
| Publicado: |
2025
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
Ejemplares similares
Worst-case values of target semi-variances with applications to robust portfolio selection
por: Cai, Jun, et al.
Publicado: (2024)
por: Cai, Jun, et al.
Publicado: (2024)
Variable selection for minimum-variance portfolios
por: Moura, Guilherme V., et al.
Publicado: (2025)
por: Moura, Guilherme V., et al.
Publicado: (2025)
Class of topological portfolios: Are they better than classical portfolios?
por: Goel, Anubha, et al.
Publicado: (2026)
por: Goel, Anubha, et al.
Publicado: (2026)
Goal-based portfolio selection with mental accounting
por: Bayraktar, Erhan, et al.
Publicado: (2025)
por: Bayraktar, Erhan, et al.
Publicado: (2025)
Optimal trend following portfolios
por: Valeyre, Sebastien
Publicado: (2022)
por: Valeyre, Sebastien
Publicado: (2022)
Dynamic Asset Allocation with Asset-Specific Regime Forecasts
por: Shu, Yizhan, et al.
Publicado: (2024)
por: Shu, Yizhan, et al.
Publicado: (2024)
Constrained portfolio optimization in a life-cycle model
por: Li, Wenyuan, et al.
Publicado: (2024)
por: Li, Wenyuan, et al.
Publicado: (2024)
Consumption-portfolio choice with preferences for liquid assets
por: Guan, Guohui, et al.
Publicado: (2025)
por: Guan, Guohui, et al.
Publicado: (2025)
A mixture transition distribution approach to portfolio optimization
por: De Blasis, Riccardo, et al.
Publicado: (2025)
por: De Blasis, Riccardo, et al.
Publicado: (2025)
Introducing the PIT-plot -- a new tool in the portfolio manager's toolkit
por: Wiklund, Stig-Johan, et al.
Publicado: (2025)
por: Wiklund, Stig-Johan, et al.
Publicado: (2025)
Asset management with an ESG mandate
por: Azzone, Michele, et al.
Publicado: (2024)
por: Azzone, Michele, et al.
Publicado: (2024)
The law of one price in quadratic hedging and mean-variance portfolio selection
por: Černý, Aleš, et al.
Publicado: (2022)
por: Černý, Aleš, et al.
Publicado: (2022)
On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
por: Bo, Lijun, et al.
Publicado: (2023)
por: Bo, Lijun, et al.
Publicado: (2023)
Quantum computing approach to realistic ESG-friendly stock portfolios
por: Catalano, Francesco, et al.
Publicado: (2024)
por: Catalano, Francesco, et al.
Publicado: (2024)
Solving dynamic portfolio selection problems via score-based diffusion models
por: Aghapour, Ahmad, et al.
Publicado: (2025)
por: Aghapour, Ahmad, et al.
Publicado: (2025)
The bias of IID resampled backtests for rolling-window mean-variance portfolios
por: Paskaramoorthy, Andrew, et al.
Publicado: (2025)
por: Paskaramoorthy, Andrew, et al.
Publicado: (2025)
Enhancing CVaR portfolio optimisation performance with GAM factor models
por: Lauria, Davide, et al.
Publicado: (2023)
por: Lauria, Davide, et al.
Publicado: (2023)
A Dynamic Model of Private Asset Allocation
por: Chen, Hui, et al.
Publicado: (2025)
por: Chen, Hui, et al.
Publicado: (2025)
Tactical Asset Allocation with Macroeconomic Regime Detection
por: Oliveira, Daniel Cunha, et al.
Publicado: (2025)
por: Oliveira, Daniel Cunha, et al.
Publicado: (2025)
Optimal Control of Reserve Asset Portfolios for Stablecoins
por: Hammerl, Alexander
Publicado: (2025)
por: Hammerl, Alexander
Publicado: (2025)
A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization
por: Bae, Hyunglip, et al.
Publicado: (2025)
por: Bae, Hyunglip, et al.
Publicado: (2025)
Signed network models for portfolio optimization
por: Adhikari, Bibhas
Publicado: (2025)
por: Adhikari, Bibhas
Publicado: (2025)
Asset and Factor Risk Budgeting: A Balanced Approach
por: Cetingoz, Adil Rengim, et al.
Publicado: (2023)
por: Cetingoz, Adil Rengim, et al.
Publicado: (2023)
Cost-aware Portfolios in a Large Universe of Assets
por: Fan, Qingliang, et al.
Publicado: (2024)
por: Fan, Qingliang, et al.
Publicado: (2024)
Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors
por: Wang, Wenyuan, et al.
Publicado: (2024)
por: Wang, Wenyuan, et al.
Publicado: (2024)
Optimization of portfolios with cryptocurrencies: Markowitz and GARCH-Copula model approach
por: Jeleskovic, Vahidin, et al.
Publicado: (2023)
por: Jeleskovic, Vahidin, et al.
Publicado: (2023)
Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence
por: Lis, Szymon
Publicado: (2024)
por: Lis, Szymon
Publicado: (2024)
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
por: Colaneri, Katia, et al.
Publicado: (2024)
por: Colaneri, Katia, et al.
Publicado: (2024)
A General Framework for Portfolio Construction Based on Generative Models of Asset Returns
por: Cheng, Tuoyuan, et al.
Publicado: (2023)
por: Cheng, Tuoyuan, et al.
Publicado: (2023)
Sizing the bets in a focused portfolio
por: Vukcevic, Vuko, et al.
Publicado: (2024)
por: Vukcevic, Vuko, et al.
Publicado: (2024)
Comparing Mixture, Box, and Wasserstein Ambiguity Sets in Distributionally Robust Asset Liability Management
por: Ghahtarani, Alireza, et al.
Publicado: (2026)
por: Ghahtarani, Alireza, et al.
Publicado: (2026)
Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns
por: Giller, Graham L
Publicado: (2025)
por: Giller, Graham L
Publicado: (2025)
Competitive optimal portfolio selection under mean-variance criterion
por: Shao, Guojiang, et al.
Publicado: (2025)
por: Shao, Guojiang, et al.
Publicado: (2025)
Statistical applications of the 20/60/20 rule in risk management and portfolio optimization
por: Pączek, Kewin, et al.
Publicado: (2025)
por: Pączek, Kewin, et al.
Publicado: (2025)
An Analytic Solution for Asset Allocation with a Multivariate Laplace Distribution
por: Giller, Graham L.
Publicado: (2024)
por: Giller, Graham L.
Publicado: (2024)
Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets
por: Fan, Qingliang, et al.
Publicado: (2024)
por: Fan, Qingliang, et al.
Publicado: (2024)
Music as an Asset Class
por: Stoikov, Sasha, et al.
Publicado: (2026)
por: Stoikov, Sasha, et al.
Publicado: (2026)
Some general results on risk budgeting portfolios
por: Fassino, Claudia, et al.
Publicado: (2026)
por: Fassino, Claudia, et al.
Publicado: (2026)
Time consistent portfolio strategies for a general utility function
por: Mbodji, Oumar
Publicado: (2026)
por: Mbodji, Oumar
Publicado: (2026)
Asset allocation using a Markov process of clustered efficient frontier coefficients states
por: Alexander, Nolan, et al.
Publicado: (2026)
por: Alexander, Nolan, et al.
Publicado: (2026)
Ejemplares similares
-
Worst-case values of target semi-variances with applications to robust portfolio selection
por: Cai, Jun, et al.
Publicado: (2024) -
Variable selection for minimum-variance portfolios
por: Moura, Guilherme V., et al.
Publicado: (2025) -
Class of topological portfolios: Are they better than classical portfolios?
por: Goel, Anubha, et al.
Publicado: (2026) -
Goal-based portfolio selection with mental accounting
por: Bayraktar, Erhan, et al.
Publicado: (2025) -
Optimal trend following portfolios
por: Valeyre, Sebastien
Publicado: (2022)