{"id":"https://openalex.org/W3172022303","doi":"https://doi.org/10.1109/ieeeconf51394.2020.9443423","title":"A Deep Learning-Aided Approach to Portfolio Design for Financial Index Tracking","display_name":"A Deep Learning-Aided Approach to Portfolio Design for Financial Index Tracking","publication_year":2020,"publication_date":"2020-11-01","ids":{"openalex":"https://openalex.org/W3172022303","doi":"https://doi.org/10.1109/ieeeconf51394.2020.9443423","mag":"3172022303"},"language":"en","primary_location":{"id":"doi:10.1109/ieeeconf51394.2020.9443423","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ieeeconf51394.2020.9443423","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2020 54th Asilomar Conference on Signals, Systems, and Computers","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5115599377","display_name":"Zepeng Zhang","orcid":"https://orcid.org/0000-0002-5994-5848"},"institutions":[{"id":"https://openalex.org/I30809798","display_name":"ShanghaiTech University","ror":"https://ror.org/030bhh786","country_code":"CN","type":"education","lineage":["https://openalex.org/I30809798"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Zepeng Zhang","raw_affiliation_strings":["ShanghaiTech University,School of Information Science and Technology,Shanghai,China,201210"],"affiliations":[{"raw_affiliation_string":"ShanghaiTech University,School of Information Science and Technology,Shanghai,China,201210","institution_ids":["https://openalex.org/I30809798"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5074721617","display_name":"Ziping Zhao","orcid":"https://orcid.org/0000-0002-8668-6263"},"institutions":[{"id":"https://openalex.org/I30809798","display_name":"ShanghaiTech University","ror":"https://ror.org/030bhh786","country_code":"CN","type":"education","lineage":["https://openalex.org/I30809798"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Ziping Zhao","raw_affiliation_strings":["ShanghaiTech University,School of Information Science and Technology,Shanghai,China,201210"],"affiliations":[{"raw_affiliation_string":"ShanghaiTech University,School of Information Science and Technology,Shanghai,China,201210","institution_ids":["https://openalex.org/I30809798"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5115599377"],"corresponding_institution_ids":["https://openalex.org/I30809798"],"apc_list":null,"apc_paid":null,"fwci":0.4613,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.71367827,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":95},"biblio":{"volume":null,"issue":null,"first_page":"200","last_page":"204"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6962534785270691},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6627674698829651},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.6297234296798706},{"id":"https://openalex.org/keywords/tracking","display_name":"Tracking (education)","score":0.527636706829071},{"id":"https://openalex.org/keywords/graph","display_name":"Graph","score":0.5049872994422913},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.44805291295051575},{"id":"https://openalex.org/keywords/computation","display_name":"Computation","score":0.4313797354698181},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.427154004573822},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4244208335876465},{"id":"https://openalex.org/keywords/integer-programming","display_name":"Integer programming","score":0.4195873439311981},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.38973480463027954},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.35878342390060425},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.33694183826446533},{"id":"https://openalex.org/keywords/theoretical-computer-science","display_name":"Theoretical computer science","score":0.17097628116607666},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.13913610577583313},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.13108542561531067},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.10833165049552917}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6962534785270691},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6627674698829651},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.6297234296798706},{"id":"https://openalex.org/C2775936607","wikidata":"https://www.wikidata.org/wiki/Q466845","display_name":"Tracking (education)","level":2,"score":0.527636706829071},{"id":"https://openalex.org/C132525143","wikidata":"https://www.wikidata.org/wiki/Q141488","display_name":"Graph","level":2,"score":0.5049872994422913},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.44805291295051575},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.4313797354698181},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.427154004573822},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4244208335876465},{"id":"https://openalex.org/C56086750","wikidata":"https://www.wikidata.org/wiki/Q6042592","display_name":"Integer programming","level":2,"score":0.4195873439311981},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.38973480463027954},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.35878342390060425},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.33694183826446533},{"id":"https://openalex.org/C80444323","wikidata":"https://www.wikidata.org/wiki/Q2878974","display_name":"Theoretical computer science","level":1,"score":0.17097628116607666},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.13913610577583313},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.13108542561531067},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.10833165049552917},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C15744967","wikidata":"https://www.wikidata.org/wiki/Q9418","display_name":"Psychology","level":0,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C19417346","wikidata":"https://www.wikidata.org/wiki/Q7922","display_name":"Pedagogy","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/ieeeconf51394.2020.9443423","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ieeeconf51394.2020.9443423","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2020 54th Asilomar Conference on Signals, Systems, and Computers","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":32,"referenced_works":["https://openalex.org/W83093243","https://openalex.org/W1662382123","https://openalex.org/W2003380963","https://openalex.org/W2014328192","https://openalex.org/W2014718552","https://openalex.org/W2027515466","https://openalex.org/W2046011778","https://openalex.org/W2123590022","https://openalex.org/W2144931885","https://openalex.org/W2285723830","https://openalex.org/W2519887557","https://openalex.org/W2563592268","https://openalex.org/W2576311753","https://openalex.org/W2806329290","https://openalex.org/W2948268323","https://openalex.org/W2950058920","https://openalex.org/W2950632406","https://openalex.org/W2963858333","https://openalex.org/W2964015378","https://openalex.org/W2964311892","https://openalex.org/W2964321699","https://openalex.org/W2970731410","https://openalex.org/W3034808617","https://openalex.org/W3047863327","https://openalex.org/W3122890729","https://openalex.org/W4297733535","https://openalex.org/W6637178625","https://openalex.org/W6720006811","https://openalex.org/W6726873649","https://openalex.org/W6763777643","https://openalex.org/W6763825347","https://openalex.org/W6764026643"],"related_works":["https://openalex.org/W2735520238","https://openalex.org/W1548021215","https://openalex.org/W1754774050","https://openalex.org/W3047474240","https://openalex.org/W3161597820","https://openalex.org/W1993967036","https://openalex.org/W4252057119","https://openalex.org/W273679374","https://openalex.org/W4320012563","https://openalex.org/W2181372241"],"abstract_inverted_index":{"This":[0],"paper":[1],"considers":[2],"the":[3,17,29,39,51,82,95],"index":[4,22,102],"tracking":[5,103],"portfolio":[6],"(ITP)":[7],"design":[8,41,90],"problem":[9,42,69],"in":[10,25,105],"financial":[11,21],"markets,":[12],"which":[13,97],"aims":[14],"at":[15],"reproducing":[16],"performance":[18],"of":[19,28,37],"a":[20,26,34,46,56,66],"by":[23,65],"investing":[24],"subset":[27],"assets":[30],"constituting":[31],"it.":[32],"From":[33],"regression-based":[35],"point":[36],"view,":[38],"ITP":[40,89],"is":[43,59,98],"formulated":[44],"as":[45],"mixed-integer":[47],"programming":[48],"(MIP).":[49],"Leveraging":[50],"graph":[52],"convolutional":[53],"network":[54],"(GCN),":[55],"calibrated":[57],"GCN":[58],"proposed":[60,83],"for":[61,100],"asset":[62,72],"selection":[63],"followed":[64],"lightweight":[67],"MIP":[68],"to":[70,79],"realize":[71],"allocation.":[73],"Numerical":[74],"simulations":[75],"show":[76],"that":[77],"compared":[78],"existing":[80],"methods":[81],"learning-aided":[84],"approach":[85],"can":[86],"generate":[87],"comparable":[88],"results":[91],"and":[92],"significantly":[93],"accelerate":[94],"computation":[96],"favorable":[99],"practical":[101],"targets":[104],"finance.":[106]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2021,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
