ردیابی شاخص و شاخص بهبودیافته با استفاده از رویکردهای هم‌انباشتگی و همبستگی

سبزواری، م.؛ سجادی، س. ج.؛ سجادی، س. م. (1394). حل مسئله ردیابی شاخص با استفاده از الگوریتم فراابتکاری ترکیبی کرم شب‎تاب.  فصلنامۀ مدیریت مهندسی و رایانش نرم، 1(1)، 143-125.

فلاح‎پور، س.؛ تندنویس، ف. (1394). کاربرد رویکرد بهینه‎سازی استوار در تشکیل پرتفوی سهام مبتنی بر شاخص با درنظرگرفتن عدم قطعیت پارامترها. فصلنامةعلمیپژوهشیتحقیقات مالی، 17(2)، 340-325.

Alexander, C. (1999). Optimal hedging using cointegration. Philosophical Transactions of the Royal Society Series A, 357, 2039–2058.

Alexander, C., & Dimitriu, A. (2005a). Indexing and statistical arbitrage: Tracking error or cointegration? Journal of Portfolio Management, 31(2), 50–63.

Alexander, C., & Dimitriu, A. (2005b). Indexing, cointegration and equity market regimes. International Journal of Finance & Economics, 10(3), 213–231.

Beasley, J.E., Meade, N. & Chang, T.J. (2004). An evolutionary heuristic for the index tracking problem. European Journal of Operational Research, 148 (3), 621-643.

Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). Indexing and active fundmanagement: International evidence. Journal of Financial Economics, 120(3), 539-560.

Edirisinghe, N. C. P. (2013). Index-tracking optimal portfolio selection. Quantitative Finance Letters, 1(1), 16-20.

Engle, R., & Yoo, B. S. (1987). Forecasting and testing in co-integrated systems. Journal of Econometrics, 35(1), 143–159.

Engle, R.F., & Granger, C. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55(2), 251–276.

Erdogan, E., Goldfarb, D. & Iyengar, G. (2004). Robust portfolio management.

Fallahpour, S. & Tondnevis, F. (2015). Application of an optimization model for constructing an index tracker portfolio and considering the uncertainty of model parameters by using of robust optimization approach. Journal of Financial Researches, 17(2), 325-340. (in Persian)

Gaivoronski, A.A., Krylov, S. & van der Wijst, N. (2005). Optimal portfolio selection and dynamic benchmark tracking. European Journal of operational research, 163(1), 115-131.

Gilli, M. & Këllezi, E. (2002). The threshold accepting heuristic for index tracking. Financial Engineering, E-Commerce and Supply Chain, 1-18.

Granger, C. W. J. (1981). Some properties of time series data and their use in econometric model specification. Journal of Econometrics, 16(1), 121–130.

Grobys, K. (2010). Correlation versus cointegration: Do cointegration based index-tracking portfolios perform better? Evidence from the Swedish stock-market. German. Journal for Young Researchers, 2(1), 72–78.

Jansen, R. & van Dijk, R. (2002). Optimal benchmark tracking with small portfolios. The journal of portfolio management, 28(2), 33-39.

Jeng, Y., Lee, C. J. & Tzang, S.W. (2013). Application of a multifactor model in enhanced index fund: Performance analysis in China. Emerging Markets Finance and Trade, 49(4), 163-183.

Lucas, A. (1997). Strategic and tactical asset allocation and the effect of long-run equilibrium relations. In Serie Research Memoranda 0042, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

Meade, N. & Salkin, G.R. (1990). Developing and maintaining an equity index fund. Journal of the Operational Research Society, 41(7), 599-607.

O'Doherty, M.S., Savin, N.E. & Tiwari, A. (2017). Hedge fund replication: A model combination approach. Review of Finance, 21(4), 1767-1804.

Rohweder, H. C. (1998). Implementing stock selection ideas: does tracking error optimization do any good? Journal of Portfolio Management, 24(3), 49–59.

Roll, R. (1992). A mean-variance analysis of tracking error. Journal of Portfolio Management, 18(4), 13-22.

Rudd, A. (1980). Optimal selection of passive portfolios. Financial Management,9(1),57-66.

Rudolf, M., Wolter, H.J. & Zimmermann, H. (1999). A linear model for tracking error minimization. Journal of Banking & Finance, 23(1), 85-103.

Sabzevari, M., Sajadi, S.J & Sajadi, S.M. (2015). Index tracking problem solving using metaheuristic firefly algorithm. Journal Management System, 1(1), 125-143. (in Persian)

Sant’Anna, L. R., Filomena, T. P. & Caldeira, J. F. (2016). Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection. The Quarterly Review of Economics and Finance, 65, 146-157.

Sant’Anna, L. R., Filomena, T. P., Guedes, P. C., & Borenstein, D. (2016). Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming. Annals of Operations Research, 1–19.