Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets
Index-tracking problem for a spot energy index. Application of evolutionary algorithms by investing in stock portfolios. Rebalancing trading strategies outperform the buy and hold strategy. Increasing the rebalancing frequency only has marginal effects. Investment strategies are less risky, efficient, and cost-effective.
evolutionary algorithms energy markets international equities international investment index tracking