Optimal construction and rebalancing of index-tracking portfolios O Strub, P Baumann European journal of operational research 264 (1), 370-387, 2018 | 72 | 2018 |
Tracking and outperforming large stock-market indices M Gnägi, O Strub Omega 90, 101999, 2020 | 27 | 2020 |
A two-stage approach to the UCITS-constrained index-tracking problem O Strub, N Trautmann Computers & operations research 103, 167-183, 2019 | 13 | 2019 |
An application of Microsoft Excel's evolutionary solver based on a novel chromosome encoding scheme to the 1/N portfolio tracking problem O Strub, N Trautmann 2016 IEEE International Conference on Industrial Engineering and Engineering …, 2016 | 5 | 2016 |
An iterated greedy heuristic for the 1/N portfolio tracking problem O Strub, N Trautmann International Conference on Operations Research and Enterprise Systems 2 …, 2016 | 5 | 2016 |
A three-phase approach to an enhanced index-tracking problem with real-life constraints O Strub, S Brandinu, D Lerch, J Schaller, N Trautmann The Engineering Economist 64 (3), 227-253, 2019 | 4 | 2019 |
A genetic algorithm for the UCITS-constrained index-tracking problem O Strub, N Trautmann 2017 IEEE Congress on Evolutionary Computation (CEC), 822-829, 2017 | 3 | 2017 |
Index tracking using data-mining techniques and mixed-binary linear programming O Strub, P Baumann 2015 IEEE International Conference on Industrial Engineering and Engineering …, 2015 | 2 | 2015 |
Optimization of Index-Based Portfolios O Strub, N Trautmann, R Mansini Universität Bern, 2018 | 1 | 2018 |
A new MILP formulation for rebalancing enhanced index-tracking portfolios O Strub 2017 IEEE International Conference on Industrial Engineering and Engineering …, 2017 | 1 | 2017 |
Optimal Feature Selection for Support Vector Machine Classifiers O Strub 2020 IEEE International Conference on Industrial Engineering and Engineering …, 2020 | | 2020 |
A matheuristic to build linear regression models for binary classification O Strub | | 2019 |
A Local-branching heuristic for the best subset selection problem in linear regression O Strub | | 2018 |
A Local-branching Heuristic for the Best Subset Selection Problem in Linear Regression T Bigler, O Strub 2018 IEEE International Conference on Industrial Engineering and Engineering …, 2018 | | 2018 |
A Matheuristic for the Best Subset Selection Problem in Linear Regression O Strub | | 2018 |
A hybrid approach to the 1/n portfolio tracking problem O Strub | | 2017 |
A genetic algorithm to construct index-tracking portfolios subject to the UCITS III concentration rule O Strub | | 2017 |
A hybrid approach combining iterated greedy heuristics and quadratic programming to track the 1/N portfolio O Strub | | 2016 |
Tracking the 1/N Portfolio O Strub | | 2015 |
Index tracking using unsupervised learning and mixed-binary convex programming O Strub | | 2015 |