• DocumentCode
    3585205
  • Title

    Index Tracking with Invasive Weed Optimization

  • Author

    Affolter, K. ; Schweizer, D. ; Hanne, T. ; Dornberger, R.

  • Author_Institution
    Inst. for Inf. Syst., Univ. of Appl. Sci. & Arts Northwestern, Olten, Switzerland
  • fYear
    2014
  • Firstpage
    110
  • Lastpage
    114
  • Abstract
    In this paper we explore possibilities to solve the index tracking problem with Invasive Weed Optimization (IWO), a rather new metaheuristics algorithm. The complexity of this real life problem and especially its solution space and restrictions require substantial adaptation of the IWO algorithm. Although the method basically works well, the obtained results do not reach our intended benchmark.
  • Keywords
    investment; optimisation; IWO; index tracking; invasive weed optimization; metaheuristics algorithm; Art; Benchmark testing; Indexes; Optimization; Portfolios; Standards; evolutionary algorithms; index tracking; invasive weed optimization; metaheuristics; portfolio optimization;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Soft Computing and Machine Intelligence (ISCMI), 2014 International Conference on
  • Type

    conf

  • DOI
    10.1109/ISCMI.2014.9
  • Filename
    7079365
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3585205