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Index Tracking with Cardinality Constraints: A Stochastic Neural Networks Approach

Index Tracking with Cardinality Constraints: A Stochastic Neural Networks Approach

Partial (replication) index tracking is a popular passive investment strategy. It aims to replicate the performance of a given index by constructing a tracking portfolio which contains some constituents of the index. The tracking error optimisation is quadratic and NP-hard when taking the ℓ0 constraint into account so it is …