Experimental model selection for the enhanced index tracking problem

Articles in Press

Document Type : Original Article

Authors

Department of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), Iran

Abstract

Enhanced index tracking (EIT) problems aim to construct portfolios that track market-index movements while delivering superior performance. Although various optimization models have been proposed for the EIT problem, to the best of our knowledge, there has been no comprehensive comparison of these models to date. This paper addresses this issue by conducting a thorough evaluation of existing EIT optimization models over real-life datasets, taken from the Tehran stock market. The methodology used to compare models offer valuable insights for financial professionals and investors and help them in selecting the most effective strategies to improve their investment performance.

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AUT Journal of Mathematics and Computing

Articles in Press, Accepted Manuscript
Available Online from 10 February 2025

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