{"id":"https://openalex.org/W4214922839","doi":"https://doi.org/10.1109/ieeeconf53345.2021.9723183","title":"Multi-Period Portfolio Optimization for Index Tracking in Finance","display_name":"Multi-Period Portfolio Optimization for Index Tracking in Finance","publication_year":2021,"publication_date":"2021-10-31","ids":{"openalex":"https://openalex.org/W4214922839","doi":"https://doi.org/10.1109/ieeeconf53345.2021.9723183"},"language":"en","primary_location":{"id":"doi:10.1109/ieeeconf53345.2021.9723183","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ieeeconf53345.2021.9723183","pdf_url":null,"source":{"id":"https://openalex.org/S4363607877","display_name":"2021 55th Asilomar Conference on Signals, Systems, and Computers","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2021 55th 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/A5090706132","display_name":"Xiuyuan Huang","orcid":null},"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":"Xiuyuan Huang","raw_affiliation_strings":["ShanghaiTech University,School of Information Science and Technology,Shanghai,China,201210"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ShanghaiTech University,School of Information Science and Technology,Shanghai,China,201210","institution_ids":["https://openalex.org/I30809798"]}]},{"author_position":"middle","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":false,"raw_author_name":"Zepeng Zhang","raw_affiliation_strings":["ShanghaiTech University,School of Information Science and Technology,Shanghai,China,201210"],"raw_orcid":null,"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"],"raw_orcid":null,"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":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I30809798"],"apc_list":null,"apc_paid":null,"fwci":1.3854,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.85507246,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"4","issue":null,"first_page":"1383","last_page":"1387"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9991000294685364,"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":0.9991000294685364,"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":0.9986000061035156,"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":0.9977999925613403,"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/portfolio-optimization","display_name":"Portfolio optimization","score":0.7822591066360474},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.7151326537132263},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6918501853942871},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.6253105401992798},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5740130543708801},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5618703961372375},{"id":"https://openalex.org/keywords/tracking","display_name":"Tracking (education)","score":0.4803963005542755},{"id":"https://openalex.org/keywords/tracking-error","display_name":"Tracking error","score":0.45131850242614746},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.41379380226135254},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2945321500301361},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2909999489784241},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2207295000553131},{"id":"https://openalex.org/keywords/control","display_name":"Control (management)","score":0.0978384017944336},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.09691387414932251}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.7822591066360474},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.7151326537132263},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6918501853942871},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.6253105401992798},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5740130543708801},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5618703961372375},{"id":"https://openalex.org/C2775936607","wikidata":"https://www.wikidata.org/wiki/Q466845","display_name":"Tracking (education)","level":2,"score":0.4803963005542755},{"id":"https://openalex.org/C183356978","wikidata":"https://www.wikidata.org/wiki/Q1779213","display_name":"Tracking error","level":3,"score":0.45131850242614746},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.41379380226135254},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2945321500301361},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2909999489784241},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2207295000553131},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.0978384017944336},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.09691387414932251},{"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/C15744967","wikidata":"https://www.wikidata.org/wiki/Q9418","display_name":"Psychology","level":0,"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/ieeeconf53345.2021.9723183","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ieeeconf53345.2021.9723183","pdf_url":null,"source":{"id":"https://openalex.org/S4363607877","display_name":"2021 55th Asilomar Conference on Signals, Systems, and Computers","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2021 55th Asilomar Conference on Signals, Systems, and Computers","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320330944","display_name":"Nature","ror":null}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":23,"referenced_works":["https://openalex.org/W1963606230","https://openalex.org/W1973074195","https://openalex.org/W2003380963","https://openalex.org/W2014718552","https://openalex.org/W2120547244","https://openalex.org/W2132621139","https://openalex.org/W2135046866","https://openalex.org/W2582533304","https://openalex.org/W2760945190","https://openalex.org/W2766292535","https://openalex.org/W2801280028","https://openalex.org/W2803565980","https://openalex.org/W2912400541","https://openalex.org/W2962967935","https://openalex.org/W2963292694","https://openalex.org/W3122890729","https://openalex.org/W3124645321","https://openalex.org/W3124944684","https://openalex.org/W3130033242","https://openalex.org/W3172022303","https://openalex.org/W3195799752","https://openalex.org/W4300098446","https://openalex.org/W6751431052"],"related_works":["https://openalex.org/W2953089714","https://openalex.org/W2388487404","https://openalex.org/W2391063200","https://openalex.org/W2175512888","https://openalex.org/W1986311305","https://openalex.org/W4360613713","https://openalex.org/W3125148470","https://openalex.org/W2768197547","https://openalex.org/W2055959038","https://openalex.org/W4206877017"],"abstract_inverted_index":{"Index":[0],"tracking,":[1],"a":[2,15,22,80,112,122],"classical":[3,155],"passive":[4],"investment":[5],"strategy":[6],"in":[7,28,59,73],"finance,":[8],"attempts":[9],"to":[10,68,86,96,144,153],"reproduce":[11],"the":[12,25,29,42,45,60,129,138,154],"performance":[13,148],"of":[14,24],"specific":[16],"market":[17],"index":[18,54,87,107],"by":[19,119],"holding":[20,102],"only":[21],"subset":[23],"constituent":[26],"assets":[27],"index.":[30],"To":[31],"realize":[32],"this,":[33],"various":[34],"portfolio":[35,56,70,89],"optimization":[36,51,83,114,132],"methods":[37,65],"have":[38],"been":[39],"developed.":[40],"In":[41,77],"literature,":[43],"all":[44],"existing":[46],"works":[47],"focus":[48],"on":[49,128],"single-period":[50],"(SPO)":[52],"for":[53,98,106],"tracking":[55,88,108,147],"design.":[57],"However,":[58],"financial":[61],"markets,":[62],"such":[63],"SPO":[64,156],"may":[66],"lead":[67],"frequent":[69],"rebalances,":[71],"resulting":[72],"high":[74],"transaction":[75,99],"costs.":[76,103],"this":[78],"paper,":[79],"novel":[81],"multi-period":[82],"(MPO)":[84],"approach":[85],"design":[90],"is":[91,94,109,142],"proposed,":[92],"which":[93],"able":[95,143],"account":[97],"costs":[100,151],"and":[101,116],"The":[104],"MPO":[105,140],"formulated":[110],"as":[111],"nonconvex":[113],"problem":[115],"solved":[117],"successively":[118],"dealing":[120],"with":[121,149],"second-order":[123],"cone":[124],"programming":[125],"subproblem":[126],"based":[127],"successive":[130],"convex":[131],"procedure.":[133],"Numerical":[134],"simulations":[135],"showcase":[136],"that":[137],"proposed":[139],"method":[141],"achieve":[145],"comparative":[146],"lower":[150],"compared":[152],"method.":[157]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1}],"updated_date":"2026-06-26T08:34:08.712188","created_date":"2025-10-10T00:00:00"}