| Title: | Ants Can Pick Stocks: A Heuristic for Constructing Equity Index Funds |
| Speaker: | Danny Myers Professor Department of Applied Statistics and Operations Research Bowling Green State University |
| Abstract: | An equity index fund attempts to duplicate the performance of a selected benchmark as closely as possible. For practical reasons, it is often desirable to achieve this with a designated number of securities. In the operations research literature the selection of securities for index fund construction can be formulated as a quadratic 0-1 programming problem. Since such models are NP hard, heuristic methods are usually required to produce (approximate) solutions in a reasonable time. This article reports on an Ant Colony Optimization approach to selecting securities for inclusion in an S&P 500® index fund. |
| Location: | Palenske 227 |
| Date: | 4/13/2006 |
| Time: | 3:10 PM |
@abstract{MCS:Colloquium:DannyMyers
Professor
DepartmentofAppliedStatisticsandOperationsResearch
BowlingGreenStateUniversity:2006:4:13,
author = "{Danny Myers
Professor
Department of Applied Statistics and Operations Research
Bowling Green State University}",
title = "{Ants Can Pick Stocks: A Heuristic for Constructing Equity Index Funds}",
address = "{Albion College Mathematics and Computer Science Colloquium}",
month = "{13 April}",
year = "{2006}"
}