Robust portfolio selection for index tracking

[1]  R. C. Merton,et al.  On Estimating the Expected Return on the Market: An Exploratory Investigation , 1980 .

[2]  Andrew Rudd,et al.  Optimal Selection of Passive Portfolios , 1980 .

[3]  Nigel Meade,et al.  Developing and Maintaining an Equity Index Fund , 1990 .

[4]  R. Roll,et al.  A Mean/Variance Analysis of Tracking Error , 1992 .

[5]  W. Sharpe.  The Sharpe Ratio , 1994 .

[6]  Arkadi Nemirovski,et al.  Robust Convex Optimization , 1998, Math. Oper. Res..

[7]  Herold C. Rohweder.  Implementing Stock Selection Ideas , 1998 .

[8]  WangMing Yee.  Multiple-Benchmark and Multiple-Portfolio Optimization , 1999 .

[9]  H. Zimmermann,et al.  A linear model for tracking error minimization , 1999 .

[10]  Hiroshi Konno,et al.  Minimal Cost Index Tracking Under Nonlinear Transaction Costs And Minimal Transaction Unit Constraints , 2001 .

[11]  Manfred Gilli,et al.  The Threshold Accepting Heuristic for Index Tracking , 2001 .

[12]  R. Jagannathan,et al.  Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps , 2002 .

[13]  R. Jansen,et al.  Optimal Benchmark Tracking with Small Portfolios , 2002 .

[14]  Massimiliano Marcellino,et al.  Factor Based Index Tracking , 2002 .

[15]  John E. Beasley,et al.  An evolutionary heuristic for the index tracking problem , 2003, Eur. J. Oper. Res..

[16]  Melvyn Sim,et al.  Robust discrete optimization and network flows , 2003, Math. Program..

[17]  Reha H. Tütüncü,et al.  Robust Asset Allocation , 2004, Ann. Oper. Res..

[18]  E. Elton,et al.  Improved Estimates of Correlation Coefficients and Their Impact on Optimum Portfolios , 2004 .

[19]  S. Focardi,et al.  A methodology for index tracking based on time-series clustering , 2004 .

[20]  Mustafa Ç. Pinar,et al.  Robust profit opportunities in risky financial portfolios , 2005, Oper. Res. Lett..

[21]  Carol Alexander,et al.  Indexing and Statistical Arbitrage , 2005 .

[22]  C. Dunis,et al.  Cointegration portfolios of European equities for index tracking and market neutral strategies , 2005 .

[23]  Nico van der Wijst,et al.  Optimal portfolio selection and dynamic benchmark tracking , 2005, Eur. J. Oper. Res..

[24]  D. Bertsimas,et al.  Robust and Data-Driven Optimization: Modern Decision-Making Under Uncertainty , 2006 .

[25]  Thomas F. Coleman,et al.  Minimizing tracking error while restricting the number of assets , 2006 .

[26]  Alper Atamtürk.  Strong Formulations of Robust Mixed 0–1 Programming , 2006, Math. Program..

[27]  Dimitris Bertsimas,et al.  Robust multiperiod portfolio management in the presence of transaction costs , 2008, Comput. Oper. Res..

[28]  A. Quaranta,et al.  Robust Portfolio Management , 2008 .

[29]  John E. Beasley,et al.  Mixed-integer programming approaches for index tracking and enhanced indexation , 2009, Eur. J. Oper. Res..

[30]  Francisco J. Nogales,et al.  Portfolio Selection With Robust Estimation , 2007, Oper. Res..

[31]  Aurélie Thiele,et al.  Short sales in Log-robust portfolio management , 2011, Eur. J. Oper. Res..

[32]  Javier F. Pena,et al.  Optimization Methods in Finance: Stochastic programming: theory and algorithms , 2006 .