Experimental model selection for the enhanced index tracking problem

	Experimental model selection for the enhanced index tracking problem
AUT Journal of Mathematics and Computing
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 22 بهمن 1403
نوع مقاله: Original Article
شناسه دیجیتال (DOI): 10.22060/ajmc.2025.23174.1237
نویسندگان
Farnaz Hooshmand^* ؛ Negin Sadeghi؛ Seyed Ali MirHassani
Department of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), Iran
چکیده
Enhanced index tracking (EIT) problems aim to construct portfolios that track market-index movements while delivering superior performance. Although various optimization models have been proposed for the EIT problem, to the best of our knowledge, there has been no comprehensive comparison of these models to date. This paper addresses this issue by conducting a thorough evaluation of existing EIT optimization models over real-life datasets, taken from the Tehran stock market. The methodology used to compare models offer valuable insights for financial professionals and investors and help them in selecting the most effective strategies to improve their investment performance.
کلیدواژه‌ها
Portfolio of stocks؛ Enhanced index tracking؛ Tracking error؛ Cardinality constraint؛ Absolute and downside deviations

آمار تعداد مشاهده مقاله: 186

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