Back to Search
Start Over
Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming.
- Source :
-
Annals of Operations Research . Nov2017, Vol. 258 Issue 2, p849-867. 19p. - Publication Year :
- 2017
-
Abstract
- In this paper, we discuss the index tracking strategy using mathematical programming. First, we use a non-linear programming formulation for the index tracking problem, considering a limited number of assets. Since the problem is difficult to be solved in reasonable time by commercial mathematical packages, we apply a hybrid solution approach, combining mathematical programming and genetic algorithm. We show the efficiency of the proposed approach comparing the results with optimal solutions, with previous developed methods, and from real-world market indexes. The computational experiments focus on Ibovespa (the most important Brazilian market index), but we also present results for consolidated markets such as S&P 100 (USA), FTSE 100 (UK) and DAX (Germany). The proposed framework shows its ability to obtain very good results (gaps from the optimal solution smaller than 5 % in 8 min of CPU time) even for a highly volatile index from a developing country. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02545330
- Volume :
- 258
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- Annals of Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 126259522
- Full Text :
- https://doi.org/10.1007/s10479-016-2111-x