Albion College Mathematics and Computer Science Colloquium

 Title: Ants Can Pick Stocks: A Heuristic for Constructing Equity Index Funds Speaker: Danny MyersProfessorDepartment of Applied Statistics and Operations ResearchBowling 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:DannyMyersProfessorDepartmentofAppliedStatisticsandOperationsResearchBowlingGreenStateUniversity:2006:4:13,
author  = "{Danny MyersProfessorDepartment of Applied Statistics and Operations ResearchBowling 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}"
}