An efficient optimization approach for a cardinality-constrained index tracking problem

Keyphrases

• Optimization Approach 100%
• Efficient Optimization 100%
• Cardinality Constraint 100%
• Index Tracking 100%
• Index Tracking Problem 100%
• Tracking Error 75%
• Sample Tracking 50%
• Nonmonotone Projected Gradient Method 50%
• Tracking Model 50%
• High Consistency 25%
• Gradient Projection 25%
• Computational Results 25%
• Linear Time 25%
• Business Environment 25%
• Portfolio Managers 25%
• Hybrid Evolutionary Algorithm 25%
• Error Measures 25%
• Local Minimizer 25%
• Accumulation Points 25%
• Hybrid Optimization 25%
• Half Thresholding Algorithm 25%
• L1/2 Regularization 25%
• Sparse Portfolio 25%
• Tracking Portfolio 25%
• Error Consistency 25%
• Oper 25%
• Business-driven 25%
• Sparse Index Tracking 25%

Mathematics

• Cardinality 100%
• Projected Gradient Method 66%
• Subproblem 66%
• Regularization 33%
• Minimizes 33%
• Upper Bound 33%
• Local Minimizer 33%
• Accumulation Point 33%
• Thresholding 33%
• Linear Time 33%
• Closed Form Solution 33%
• Empirical Test 33%
• Evolutionary Algorithms 33%

Computer Science

• Tracking Error 100%
• Cardinality 100%
• Gradient Method 66%
• Empirical Test 33%
• Regularization 33%
• Evolutionary Algorithm 33%