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Article(3)
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Annals of Operations Research(1)
Economics Bulletin(1)
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Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
ArticleAbstract: In this paper, we discuss the index tracking strategy using mathematical programming. First, we usePalabras claves:Genetic Algorithm, Index tracking, Portfolio optimizationAutores:Denis Borenstein, Guedes P.C., Pascoal Filomena T., Sant’Anna L.Fuentes:scopusInvestigating the use of statistical process control charts for index tracking portfolios
ArticleAbstract: In this article, our goal is to introduce a statistical process control charts approach (SPC) to monPalabras claves:Cointegration, EWMA control chart, index track, OptimizationAutores:Denis Borenstein, Frois Caldeira J., Pascoal Filomena T., Sant’Anna L.Fuentes:scopusRisk parity in the Brazilian market
ArticleAbstract: Using sectorial indices of the Brazilian market, we compare the portfolio optimization approach knowPalabras claves:Autores:De souza P., Denis Borenstein, Frois Caldeira J., Pascoal Filomena T., Righi M.Fuentes:scopus