Sakurai and Ishizaki's paper “Formulations to select assets for constructing sparse index tracking portfolios” has been published in Risk.net's
Journal of Investment Strategies. The paper develops a new method for applying combinatorial optimization to portfolio tracking. 『Formulations to select assets for constructing sparse index tracking portfolios』NEW
2021/10/8
A paper “Correlation diversified passive portfolio strategy based on permutation of assets”that is the result of joint research between our institute and NTT DATA Corporation from 2018, was published in The Journal of Investment Strategies on Risk.net. 『Correlation diversified passive portfolio strategy based on permutation of assets』
