Index tracking using data-mining techniques and mixed-binary linear programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative s...

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Bibliographic Details

Published in:	2015 IEEE International Conference on Industrial Engineering and Engineering Management (IEEM) pp. 1208 - 1212
Main Authors:	Strub, Oliver, Baumann, Philipp
Format:	Conference Proceeding
Language:	English
Published:	IEEE 01.12.2015
Subjects:	Correlation Cross validation data mining index tracking Indexes Investment mixed-integer linear programming Planning Portfolios Principal component analysis Testing
Online Access:	Get full text
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