Metaheuristics for the Index Tracking Problem

Giacomo di Tollo and Dietmar Maringer ()
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Giacomo di Tollo: University of Basel
Dietmar Maringer: University of Basel

Chapter 8 in Metaheuristics in the Service Industry, 2009, pp 127-154 from Springer

Abstract: Abstract Passive portfolio management strategies such as Index Tracking have gained considerable attention the industry recently which has also sparked some research interest. Index Tracking Problems are often complex in nature because of constraints on the portfolio structure and the chosen measure for the Tracking Error, quickly defying the use of traditional deterministic methods. Heuristic search and optimizationmethods, on the other hand, can dealwith this complexity and therefore appear as ideal choice to solve this class of problems. This contribution describes the Index Tracking Problem together with typical constraint encountered in practice, and illustrates how metaheuristic methods can be employed.

Keywords: Index tracking; Metaheuristics; Passive portfolio management; Portfolio optimization (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-3-642-00939-6_8

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