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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 | ||
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آمار تعداد مشاهده مقاله: 278 |
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