Subset SSD for enhanced indexation with sector constraints

By Cristiano Arbex Valle, John E Beasley

Published 2024-04-25

Everscope rating

1557.3

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Subset SSD. Problem types: Portfolio Optimization, Enhanced Indexation.

arXiv:2404.16777 · Code · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.