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
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Boston ; Delft
Now Publishers
2018
|
| Schriftenreihe: | Foundations and trends in optimization
Vol. 3, no. 3 |
| Schlagworte: | |
| Online-Zugang: | TUM01 |
| Zusammenfassung: | 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 |
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Beschreibung: | 1 online resource (117 pages) |
| ISBN: | 9781680834659 |
Internformat
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 |a ebook | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-033077770 | ||
| 966 | e | |u https://www.nowpublishers.com/article/Download/OPT-021 |l TUM01 |p ebook |x Verlag |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804183180254642176 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| 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 |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV047693777 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T18:57:27Z |
| indexdate | 2024-07-10T09:19:21Z |
| 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 |
| spelling | Benidis, Konstantinos Verfasser aut Optimization methods for financial index tracking from theory to Ppactice Konstantinos Benidis, Feng Yiyong, Daniel P. Palomar Boston ; Delft Now Publishers 2018 ©2018 1 online resource (117 pages) txt rdacontent c rdamedia cr rdacarrier Foundations and trends in optimization Vol. 3, no. 3 Description based on publisher supplied metadata and other sources 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 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 Finance-Mathematical models Feng, Yiyong Verfasser aut Palomar, Daniel P. Verfasser aut Erscheint auch als Druck-Ausgabe Benidis, Konstantinos Optimization Methods for Financial Index Tracking Norwell, MA : Now Publishers,c2018 9781680834642 Foundations and trends in optimization Vol. 3, no. 3 (DE-604)BV047879910 3,3 |
| 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_exact_search_txtP | 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 |
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