Economics at your fingertips  

Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms

Kostas Andriosopoulos, Michael Doumpos, Nikos Papapostolou () and Panos K. Pouliasis

Transportation Research Part E: Logistics and Transportation Review, 2013, vol. 52, issue C, 16-34

Abstract: This paper reproduces the performance of an international market capitalization shipping stock index and two physical shipping indexes by investing only in US stock portfolios. The index-tracking problem is addressed using the differential evolution algorithm and the genetic algorithm. Portfolios are constructed by a subset of stocks picked from the shipping or the Dow Jones Composite Average indexes. To test the performance of the heuristics, three different trading scenarios are examined: annually, quarterly and monthly rebalancing, accounting for transaction costs where necessary. Competing portfolios are also assessed through predictive ability tests. Overall, the proposed investment strategies carry less risk compared to the tracked benchmark indexes while providing investors the opportunity to efficiently replicate the performance of both the stock and physical shipping indexes in the most cost-effective way.

Keywords: Index tracking; Investment strategies; Shipping; Evolutionary algorithms; Optimization; Stationary bootstrap (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.elsevier. ... 600244/bibliographic

Access Statistics for this article

Transportation Research Part E: Logistics and Transportation Review is currently edited by W. Talley

More articles in Transportation Research Part E: Logistics and Transportation Review from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-10-07
Handle: RePEc:eee:transe:v:52:y:2013:i:c:p:16-34