1 |
Ian R. Appel, Todd A. Gormley and Donald B. Keim, "Passive investors, not passive owners," Journal of Financial Economics, vol. 121, no. 1, pp. 111-141, Jul., 2016.
DOI
|
2 |
Percentage of Large-Cap funds that underperformed the S&P 500(2020). https://www.spglobal.com/spdji/en/research-insights/spiva/#/reports (accessed Jul., 23, 2021).
|
3 |
Juan Diaz, Juan, et al., "Index fund optimization using a hybrid model: genetic algorithm and mixed-integer nonlinear programming," The Engineering Economist, vol. 64, no. 3, pp. 298-309, Jul., 2019.
DOI
|
4 |
B. M. Barber and T. Odean, "Trading is hazardous to your wealth: The common stock investment performance of individual investors," Journal of Finance, vol. 55, no. 2, pp. 773-806, Apr., 2000.
DOI
|
5 |
J. E. Beasley, N. Meade, and T.-J. Chang, "An evolutionary heuristic for the index tracking problem," European Journal of Operational Research, vol. 148, no. 3, pp. 621-643, Aug., 2003.
DOI
|
6 |
Richard Roll, "A mean/variance analysis of tracking error," The Journal of Portfolio Management, vol. 18, no. 4, pp. 13-22, 1992.
DOI
|
7 |
K. Benidis, Y. Feng and D. P. Palomar, "Sparse Portfolios for High-Dimensional Financial Index Tracking," IEEE Transactions on Signal Processing, vol. 66, no. 1, pp. 155-170, Jan., 2018.
DOI
|
8 |
Francesco Cesarone, Lorenzo Lampariello and Simone Sagratella, "A risk-gain dominance maximization approach to enhanced index tracking," Finance Research Letters, vol. 29, pp. 231-238, Jun., 2019.
DOI
|
9 |
Andriosopoulos Kostas, et al., "Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms," Transportation Research Part E: Logistics and Transportation Review, vol. 52, pp. 16-34, 2013.
DOI
|
10 |
김정현, 이주홍, "몬테카를로 유전 알고리즘을 사용하여 축소된 탐색 공간에서 자산을 효율적으로 선택하는 방법에 관한 연구," 한국지능시스템학회논문지, 제30권, 제1호, 21-27쪽, 2020년 2월
|
11 |
Richard W. Sias, "Volatility and the institutional investor," Financial Analysts Journal, vol. 52, no. 2, pp. 13-20, Apr., 1996.
DOI
|
12 |
Rainer Storn and Kenneth Price, "Differential evolution-a simple and efficient heuristic for global optimization over continuous spaces," Journal of global optimization, vol. 11, no. 4, pp. 341-359, 1997.
DOI
|
13 |
Holland, J. H., "Adaptation in natural and artificial systems: an introductory analysis with applications to biology, control, and artificial intelligence," MIT Press, pp. 89-120, 1992.
|
14 |
Improved Sharpe Ratio, using log returns(2021). https://www.crystalbull.com/sharpe-ratio-better-with-log-returns/ (accessed Jul.., 23, 2021).
|
15 |
A. A. Gaivoronski, S. Krylov, and N. Van der Wijst, "Optimal portfolio selection and dynamic benchmark tracking," European Journal of Operational Research, vol. 163, no. 1, pp. 115-131, May, 2005.
DOI
|
16 |
천성길, 이주홍, 최범기, 송재원, "대규모 외생 변수 및 Deep Neural Network 기반 금융 시장 예측 및 성능 향상," 스마트미디어저널, 제9권, 제4호, 26-35쪽, 2020년 12월
|
17 |
허기수, 정현태, 박아론, 백성준, "양자 유전알고리즘을 이용한 특징 선택 및 성능 분석," 스마트미디어저널, 제1권, 제1호, 36-41쪽, 2012년 3월
|
18 |
O. Strub and N. Trautmann, "A two-stage approach to the UCITS-constrained index-tracking problem," Computers & operations research, vol. 103, pp. 167-183, Oct., 2019.
DOI
|
19 |
N. Meade and J. E. Beasley, "Detection of momentum effects using an index out-performance strategy," Quantitative Finance, vol. 11, no. 2, pp. 313-326, Apr., 2010.
DOI
|
20 |
H. Li, Qin Huang, and Baiyi Wu, "Improving the naive diversification: An enhanced indexation approach," Finance Research Letters, vol. 39, Mar., 2021.
|
21 |
H. Markowitz, "Portfolio selection," J. Finance, vol. 7, no. 1, pp. 77-91, 1952.
DOI
|
22 |
H. Markowitz, "Portfolio Selection: Efficient Diversification of Investments," Cowles Foundation Monograph, vol. 16, 1959.
|
23 |
Margherita Giuzio, "Genetic algorithm versus classical methods in sparse index tracking," Decisions in Economics and Finance, vol. 40, no. 1, pp. 243-256, Nov., 2017.
DOI
|
24 |
Hongbing Ouyang, Xiaowei Zhang and Hongju Yan, "Index tracking based on deep neural network," Cognitive Systems Research, vol. 57, pp. 107-114, Oct., 2019.
DOI
|
25 |
Thomas Berkemeier, et al., "Monte Carlo genetic algorithm (MCGA) for model analysis of multiphase chemical kinetics to determine transport and reaction rate coefficients using multiple experimental data sets," Atmospheric Chemistry and Physics, vol. 17, no. 12, pp. 8021-8029, 2017.
DOI
|
26 |
윤동진, 이주홍, 송재원, "몬테카를로 유전 알고리즘을 활용한 부분복제 지수 추종," 한국정보처리학회 학술대회논문집, 제27권, 제2호, 751-754쪽, 2020년 11월
|
27 |
이윤선, 이주홍, 최범기, 송재원, "비정형, 정형 데이터의 이미지 학습을 활용한 시장예측," 스마트미디어저널, 제10권, 제2호, 16-21쪽, 2021년 06월
|