کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5078826 | 1477511 | 2017 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A constrained cluster-based approach for tracking the S&P 500 index
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
مهندسی صنعتی و تولید
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چکیده انگلیسی
We consider the problem of tracking a benchmark target portfolio of financial securities in particular the S&P 500. Linear integer programming models are developed that seeks to track a target portfolio using a strict subset of securities from the benchmark portfolio. The models represent a clustering approach to select securities and also include additional constraints that aim to control risk and transactions costs. Lagrangian and semi-Lagrangian methods are developed to compute solutions to the tracking models. The computational results show the effectiveness of the linear tracking models and the computational methods in tracking the S&P 500. Overall, the models and methods presented can serve as the basis of the optimization module in an optimization-based decision support for creating tracking portfolios.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Production Economics - Volume 193, November 2017, Pages 222-243
Journal: International Journal of Production Economics - Volume 193, November 2017, Pages 222-243
نویسندگان
Dexiang Wu, Roy H. Kwon, Giorgio Costa,