Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

Combining Bottom-up and Top-down Generation of Interactive Knowledge Maps for Enterprise Search

Our research project develops an intranet search engine with concept- browsing functionality, where the user is able to navigate the conceptual level in an interactive, automatically generated knowledge map. This knowledge map visualizes tacit, implicit knowledge, extracted from the intranet, as a network of semantic concepts. Inductive and deductive methods are combined; a text ana- lytics engine extracts knowledge structures from data inductively, and the en- terprise ontology provides a backbone structure to the process deductively. In addition to performing conventional keyword search, the user can browse the semantic network of concepts and associations to find documents and data rec- ords. Also, the user can expand and edit the knowledge network directly. As a vision, we propose a knowledge-management system that provides concept- browsing, based on a knowledge warehouse layer on top of a heterogeneous knowledge base with various systems interfaces. Such a concept browser will empower knowledge workers to interact with knowledge structures.