Asset pre-selection for a cardinality constrained index tracking portfolio with optional enhancement
Fuente:
arXiv
Saved in:
| Main Authors: | Meade, N., Valle, C. A., Beasley, J. E. |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Worst-case values of target semi-variances with applications to robust portfolio selection
by: Cai, Jun, et al.
Published: (2024)
by: Cai, Jun, et al.
Published: (2024)
Variable selection for minimum-variance portfolios
by: Moura, Guilherme V., et al.
Published: (2025)
by: Moura, Guilherme V., et al.
Published: (2025)
Class of topological portfolios: Are they better than classical portfolios?
by: Goel, Anubha, et al.
Published: (2026)
by: Goel, Anubha, et al.
Published: (2026)
Goal-based portfolio selection with mental accounting
by: Bayraktar, Erhan, et al.
Published: (2025)
by: Bayraktar, Erhan, et al.
Published: (2025)
Optimal trend following portfolios
by: Valeyre, Sebastien
Published: (2022)
by: Valeyre, Sebastien
Published: (2022)
Dynamic Asset Allocation with Asset-Specific Regime Forecasts
by: Shu, Yizhan, et al.
Published: (2024)
by: Shu, Yizhan, et al.
Published: (2024)
Constrained portfolio optimization in a life-cycle model
by: Li, Wenyuan, et al.
Published: (2024)
by: Li, Wenyuan, et al.
Published: (2024)
Consumption-portfolio choice with preferences for liquid assets
by: Guan, Guohui, et al.
Published: (2025)
by: Guan, Guohui, et al.
Published: (2025)
A mixture transition distribution approach to portfolio optimization
by: De Blasis, Riccardo, et al.
Published: (2025)
by: De Blasis, Riccardo, et al.
Published: (2025)
Introducing the PIT-plot -- a new tool in the portfolio manager's toolkit
by: Wiklund, Stig-Johan, et al.
Published: (2025)
by: Wiklund, Stig-Johan, et al.
Published: (2025)
Asset management with an ESG mandate
by: Azzone, Michele, et al.
Published: (2024)
by: Azzone, Michele, et al.
Published: (2024)
The law of one price in quadratic hedging and mean-variance portfolio selection
by: Černý, Aleš, et al.
Published: (2022)
by: Černý, Aleš, et al.
Published: (2022)
On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
by: Bo, Lijun, et al.
Published: (2023)
by: Bo, Lijun, et al.
Published: (2023)
Quantum computing approach to realistic ESG-friendly stock portfolios
by: Catalano, Francesco, et al.
Published: (2024)
by: Catalano, Francesco, et al.
Published: (2024)
Solving dynamic portfolio selection problems via score-based diffusion models
by: Aghapour, Ahmad, et al.
Published: (2025)
by: Aghapour, Ahmad, et al.
Published: (2025)
The bias of IID resampled backtests for rolling-window mean-variance portfolios
by: Paskaramoorthy, Andrew, et al.
Published: (2025)
by: Paskaramoorthy, Andrew, et al.
Published: (2025)
Enhancing CVaR portfolio optimisation performance with GAM factor models
by: Lauria, Davide, et al.
Published: (2023)
by: Lauria, Davide, et al.
Published: (2023)
A Dynamic Model of Private Asset Allocation
by: Chen, Hui, et al.
Published: (2025)
by: Chen, Hui, et al.
Published: (2025)
Tactical Asset Allocation with Macroeconomic Regime Detection
by: Oliveira, Daniel Cunha, et al.
Published: (2025)
by: Oliveira, Daniel Cunha, et al.
Published: (2025)
Optimal Control of Reserve Asset Portfolios for Stablecoins
by: Hammerl, Alexander
Published: (2025)
by: Hammerl, Alexander
Published: (2025)
A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization
by: Bae, Hyunglip, et al.
Published: (2025)
by: Bae, Hyunglip, et al.
Published: (2025)
Signed network models for portfolio optimization
by: Adhikari, Bibhas
Published: (2025)
by: Adhikari, Bibhas
Published: (2025)
Asset and Factor Risk Budgeting: A Balanced Approach
by: Cetingoz, Adil Rengim, et al.
Published: (2023)
by: Cetingoz, Adil Rengim, et al.
Published: (2023)
Cost-aware Portfolios in a Large Universe of Assets
by: Fan, Qingliang, et al.
Published: (2024)
by: Fan, Qingliang, et al.
Published: (2024)
Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors
by: Wang, Wenyuan, et al.
Published: (2024)
by: Wang, Wenyuan, et al.
Published: (2024)
Optimization of portfolios with cryptocurrencies: Markowitz and GARCH-Copula model approach
by: Jeleskovic, Vahidin, et al.
Published: (2023)
by: Jeleskovic, Vahidin, et al.
Published: (2023)
Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence
by: Lis, Szymon
Published: (2024)
by: Lis, Szymon
Published: (2024)
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
by: Colaneri, Katia, et al.
Published: (2024)
by: Colaneri, Katia, et al.
Published: (2024)
A General Framework for Portfolio Construction Based on Generative Models of Asset Returns
by: Cheng, Tuoyuan, et al.
Published: (2023)
by: Cheng, Tuoyuan, et al.
Published: (2023)
Sizing the bets in a focused portfolio
by: Vukcevic, Vuko, et al.
Published: (2024)
by: Vukcevic, Vuko, et al.
Published: (2024)
Comparing Mixture, Box, and Wasserstein Ambiguity Sets in Distributionally Robust Asset Liability Management
by: Ghahtarani, Alireza, et al.
Published: (2026)
by: Ghahtarani, Alireza, et al.
Published: (2026)
Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns
by: Giller, Graham L
Published: (2025)
by: Giller, Graham L
Published: (2025)
Competitive optimal portfolio selection under mean-variance criterion
by: Shao, Guojiang, et al.
Published: (2025)
by: Shao, Guojiang, et al.
Published: (2025)
Statistical applications of the 20/60/20 rule in risk management and portfolio optimization
by: Pączek, Kewin, et al.
Published: (2025)
by: Pączek, Kewin, et al.
Published: (2025)
An Analytic Solution for Asset Allocation with a Multivariate Laplace Distribution
by: Giller, Graham L.
Published: (2024)
by: Giller, Graham L.
Published: (2024)
Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets
by: Fan, Qingliang, et al.
Published: (2024)
by: Fan, Qingliang, et al.
Published: (2024)
Music as an Asset Class
by: Stoikov, Sasha, et al.
Published: (2026)
by: Stoikov, Sasha, et al.
Published: (2026)
Some general results on risk budgeting portfolios
by: Fassino, Claudia, et al.
Published: (2026)
by: Fassino, Claudia, et al.
Published: (2026)
Time consistent portfolio strategies for a general utility function
by: Mbodji, Oumar
Published: (2026)
by: Mbodji, Oumar
Published: (2026)
Asset allocation using a Markov process of clustered efficient frontier coefficients states
by: Alexander, Nolan, et al.
Published: (2026)
by: Alexander, Nolan, et al.
Published: (2026)
Similar Items
-
Worst-case values of target semi-variances with applications to robust portfolio selection
by: Cai, Jun, et al.
Published: (2024) -
Variable selection for minimum-variance portfolios
by: Moura, Guilherme V., et al.
Published: (2025) -
Class of topological portfolios: Are they better than classical portfolios?
by: Goel, Anubha, et al.
Published: (2026) -
Goal-based portfolio selection with mental accounting
by: Bayraktar, Erhan, et al.
Published: (2025) -
Optimal trend following portfolios
by: Valeyre, Sebastien
Published: (2022)