Optimization methods for financial index tracking: from theory to Ppactice
An in-depth overview of the index tracking problem analyzing all the caveats and practical issues an investor might have, such as the frequent rebalancing of weights, the changes in the index composition, the transaction costs, etc
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| Main Authors: | , , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Boston ; Delft
Now Publishers
2018
|
| Series: | Foundations and trends in optimization
Vol. 3, no. 3 |
| Subjects: | |
| Links: | https://www.nowpublishers.com/article/Download/OPT-021 |
| Summary: | An in-depth overview of the index tracking problem analyzing all the caveats and practical issues an investor might have, such as the frequent rebalancing of weights, the changes in the index composition, the transaction costs, etc |
| Item Description: | Description based on publisher supplied metadata and other sources |
| Physical Description: | 1 online resource (117 pages) |
| ISBN: | 9781680834659 |
Staff View
MARC
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| 082 | 0 | |a 332.015195 | |
| 100 | 1 | |a Benidis, Konstantinos |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Optimization methods for financial index tracking |b from theory to Ppactice |c Konstantinos Benidis, Feng Yiyong, Daniel P. Palomar |
| 264 | 1 | |a Boston ; Delft |b Now Publishers |c 2018 | |
| 264 | 4 | |c ©2018 | |
| 300 | |a 1 online resource (117 pages) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 1 | |a Foundations and trends in optimization |v Vol. 3, no. 3 | |
| 500 | |a Description based on publisher supplied metadata and other sources | ||
| 505 | 8 | |a Intro -- Introduction -- What Is a Financial Index? -- Why Track an Index? -- Index Tracking -- Goal -- Outline -- Software -- Challenges in Index Tracking -- Rebalancing Frequency -- Transaction Costs -- Granularity -- Sparse Portfolios -- Design Simplifications -- Tracking Quantity -- Performance Measures -- Problem Formulation -- Portfolio Constraints -- Sector Information -- Optimization Algorithms -- Majorization-Minimization -- 0-''norm'' Approximate Function -- Basic Formulation -- Holding Constraints -- Algorithms Summary -- Turnover Constraint -- Sector Formulation -- Computational Complexity -- Convergence -- Numerical Experiments -- Implementation -- Sparse Index Tracking -- Sparse Index Tracking with Holding Constraints -- Comparison of Tracking Measures -- Computational Complexity of AS1|u -- Conclusions -- Abbreviations -- Notation -- Acknowledgements -- Appendices -- Proofs -- Proof of Lemma 4.2 -- Proof of Proposition 4.1 -- Proof of Proposition 4.2 -- Proof of Lemma 4.4 -- Proof of Lemma 4.5 -- Proof of Lemma 4.6 -- Proof of Lemma 4.7 -- Proof of Lemma 4.8 -- References | |
| 520 | |a An in-depth overview of the index tracking problem analyzing all the caveats and practical issues an investor might have, such as the frequent rebalancing of weights, the changes in the index composition, the transaction costs, etc | ||
| 650 | 4 | |a Finance-Mathematical models | |
| 700 | 1 | |a Feng, Yiyong |e Verfasser |4 aut | |
| 700 | 1 | |a Palomar, Daniel P. |e Verfasser |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Benidis, Konstantinos |t Optimization Methods for Financial Index Tracking |d Norwell, MA : Now Publishers,c2018 |z 9781680834642 |
| 830 | 0 | |a Foundations and trends in optimization |v Vol. 3, no. 3 |w (DE-604)BV047879910 |9 3,3 | |
| 912 | |a ZDB-30-PQE | ||
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-033077770 | |
| 966 | e | |u https://www.nowpublishers.com/article/Download/OPT-021 |l DE-91 |p ebook |x Verlag |3 Volltext | |
Record in the Search Index
| DE-BY-TUM_katkey | 2617089 |
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| _version_ | 1821936263824932865 |
| any_adam_object | |
| author | Benidis, Konstantinos Feng, Yiyong Palomar, Daniel P. |
| author_facet | Benidis, Konstantinos Feng, Yiyong Palomar, Daniel P. |
| author_role | aut aut aut |
| author_sort | Benidis, Konstantinos |
| author_variant | k b kb y f yf d p p dp dpp |
| building | Verbundindex |
| bvnumber | BV047693777 |
| collection | ZDB-30-PQE ebook |
| contents | Intro -- Introduction -- What Is a Financial Index? -- Why Track an Index? -- Index Tracking -- Goal -- Outline -- Software -- Challenges in Index Tracking -- Rebalancing Frequency -- Transaction Costs -- Granularity -- Sparse Portfolios -- Design Simplifications -- Tracking Quantity -- Performance Measures -- Problem Formulation -- Portfolio Constraints -- Sector Information -- Optimization Algorithms -- Majorization-Minimization -- 0-''norm'' Approximate Function -- Basic Formulation -- Holding Constraints -- Algorithms Summary -- Turnover Constraint -- Sector Formulation -- Computational Complexity -- Convergence -- Numerical Experiments -- Implementation -- Sparse Index Tracking -- Sparse Index Tracking with Holding Constraints -- Comparison of Tracking Measures -- Computational Complexity of AS1|u -- Conclusions -- Abbreviations -- Notation -- Acknowledgements -- Appendices -- Proofs -- Proof of Lemma 4.2 -- Proof of Proposition 4.1 -- Proof of Proposition 4.2 -- Proof of Lemma 4.4 -- Proof of Lemma 4.5 -- Proof of Lemma 4.6 -- Proof of Lemma 4.7 -- Proof of Lemma 4.8 -- References |
| ctrlnum | (ZDB-30-PQE)EBC6308963 (ZDB-30-PAD)EBC6308963 (ZDB-89-EBL)EBL6308963 (OCoLC)1102387455 (DE-599)BVBBV047693777 |
| dewey-full | 332.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.015195 |
| dewey-search | 332.015195 |
| dewey-sort | 3332.015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV047693777 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T19:26:21Z |
| institution | BVB |
| isbn | 9781680834659 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033077770 |
| oclc_num | 1102387455 |
| open_access_boolean | |
| owner | DE-91 DE-BY-TUM |
| owner_facet | DE-91 DE-BY-TUM |
| physical | 1 online resource (117 pages) |
| psigel | ZDB-30-PQE ebook |
| publishDate | 2018 |
| publishDateSearch | 2018 |
| publishDateSort | 2018 |
| publisher | Now Publishers |
| record_format | marc |
| series | Foundations and trends in optimization |
| series2 | Foundations and trends in optimization |
| spellingShingle | Benidis, Konstantinos Feng, Yiyong Palomar, Daniel P. Optimization methods for financial index tracking from theory to Ppactice Foundations and trends in optimization Intro -- Introduction -- What Is a Financial Index? -- Why Track an Index? -- Index Tracking -- Goal -- Outline -- Software -- Challenges in Index Tracking -- Rebalancing Frequency -- Transaction Costs -- Granularity -- Sparse Portfolios -- Design Simplifications -- Tracking Quantity -- Performance Measures -- Problem Formulation -- Portfolio Constraints -- Sector Information -- Optimization Algorithms -- Majorization-Minimization -- 0-''norm'' Approximate Function -- Basic Formulation -- Holding Constraints -- Algorithms Summary -- Turnover Constraint -- Sector Formulation -- Computational Complexity -- Convergence -- Numerical Experiments -- Implementation -- Sparse Index Tracking -- Sparse Index Tracking with Holding Constraints -- Comparison of Tracking Measures -- Computational Complexity of AS1|u -- Conclusions -- Abbreviations -- Notation -- Acknowledgements -- Appendices -- Proofs -- Proof of Lemma 4.2 -- Proof of Proposition 4.1 -- Proof of Proposition 4.2 -- Proof of Lemma 4.4 -- Proof of Lemma 4.5 -- Proof of Lemma 4.6 -- Proof of Lemma 4.7 -- Proof of Lemma 4.8 -- References Finance-Mathematical models |
| title | Optimization methods for financial index tracking from theory to Ppactice |
| title_auth | Optimization methods for financial index tracking from theory to Ppactice |
| title_exact_search | Optimization methods for financial index tracking from theory to Ppactice |
| title_full | Optimization methods for financial index tracking from theory to Ppactice Konstantinos Benidis, Feng Yiyong, Daniel P. Palomar |
| title_fullStr | Optimization methods for financial index tracking from theory to Ppactice Konstantinos Benidis, Feng Yiyong, Daniel P. Palomar |
| title_full_unstemmed | Optimization methods for financial index tracking from theory to Ppactice Konstantinos Benidis, Feng Yiyong, Daniel P. Palomar |
| title_short | Optimization methods for financial index tracking |
| title_sort | optimization methods for financial index tracking from theory to ppactice |
| title_sub | from theory to Ppactice |
| topic | Finance-Mathematical models |
| topic_facet | Finance-Mathematical models |
| volume_link | (DE-604)BV047879910 |
| work_keys_str_mv | AT benidiskonstantinos optimizationmethodsforfinancialindextrackingfromtheorytoppactice AT fengyiyong optimizationmethodsforfinancialindextrackingfromtheorytoppactice AT palomardanielp optimizationmethodsforfinancialindextrackingfromtheorytoppactice |