Stability improvement for index tracking during a healthcare crisis using a dual decomposition approach

• Published in: Computers & industrial engineering Vol. 175; p. 108820
• Main Author: Wu, Dexiang
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.01.2023
• Subjects: Cardinality constrained conic programming; Dual decomposition; Enhanced index tracking; Portfolio stability; Dual decomposition; Portfolio stability; Cardinality constrained conic programming; Enhanced index tracking

This paper developed a factor-based robust approach to improve the tracking fund’s stability. Similar to the financial crisis, the recent coronavirus pandemic amplify the global market volatility significantly, which suggests that healthcare-based factor can be used to hedge against the jump risk. T...