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Mostrando ítems 1-3 de 3

A multiobjective model for passive portfolio management: an application on the S&P 100 index

García García, Fernando; Guijarro Martínez, Francisco; Moya Clemente, Ismael (Taylor & Francis: SSH Journals, 2013)

Index tracking seeks to minimize the unsystematic risk component by imitating the movements of a reference index. Partial index tracking only considers a subset of the stocks in the index, enabling a substantial cost ...
Index tracking optimization with cardinality constraint: a performance comparison of genetic algorithms and tabu search heuristics

García García, Fernando; Guijarro, Francisco; Oliver-Muncharaz, Javier (Springer-Verlag, 2018)

[EN] The aim of this study was to compare the performance of the well-known genetic algorithms and tabu search heuristics with the financial problem of the partial tracking of a stock market index. Although the weights of ...
The curvature of the tracking frontier: A new criterion for the partial index tracking problem

García García, Fernando; Guijarro Martínez, Francisco; Moya Clemente, Ismael (Elsevier, 2011-10)

Index tracking aims to select portfolios that imitate the behavior of a stock index. A tracking strategy is referred to as partial when the tracking portfolio is solely formed by a subset of stocks, so enabling a substantial ...

Mostrando ítems 1-3 de 3