通过神经网络中可重新参数化的子集采样进行索引跟踪

IF 1.1 4区计算机科学 Q4 COMPUTER SCIENCE, INFORMATION SYSTEMS

Infor Pub Date : 2024-08-14 DOI:10.1080/03155986.2024.2382545

Yanyi Zhang, Johannes De Smedt

引用次数: 0

摘要

指数跟踪的目的是通过构建由指数部分成分股组成的跟踪投资组合来复制基准指数的表现。这是一个 NP 难的问题，因为...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Index tracking via reparameterizable subset sampling in neural networks

Index tracking aims at replicating the benchmark index performance by constructing a tracking portfolio consisting of partial component stocks of the index. This is an NP-hard question because of t...

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来源期刊

Infor 管理科学-计算机：信息系统

CiteScore

2.60

自引率

7.70%

发文量

审稿时长

>12 weeks

期刊介绍： INFOR: Information Systems and Operational Research is published and sponsored by the Canadian Operational Research Society. It provides its readers with papers on a powerful combination of subjects: Information Systems and Operational Research. The importance of combining IS and OR in one journal is that both aim to expand quantitative scientific approaches to management. With this integration, the theory, methodology, and practice of OR and IS are thoroughly examined. INFOR is available in print and online.