Kernel Search: An application to the index tracking problem

► MILP formulations of the problems allow to include real-life features. ► Good out-of-sample behaviors of the optimized portfolios. ► Good performances of the Kernel Search framework solving large-scale instances. ► New contributions to the heuristic algorithm show better results than the original...

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Veröffentlicht in:	European journal of operational research 2012-02, Vol.217 (1), p.54-68
Hauptverfasser:	Guastaroba, G., Speranza, M.G.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Benchmarks Computational efficiency Effectiveness studies Enhanced index tracking Exact sciences and technology Heuristic Heuristic framework Index tracking Indexes Integer programming Kernels Linear programming Markets Mathematical problems Mathematical programming Mixed-integer linear programming Operational research and scientific management Operational research. Management science Portfolio theory Raw materials Searching Securities markets Solvers Stock exchanges Tracking problem
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