This paper reproduces the performance of an international market capitalization shipping stock index and two physical shipping indexes by investing only in US stock portfolios. The index-tracking problem is addressed using the differential evolution algorithm and the genetic algorithm. Portfolios are constructed by a subset of stocks picked from the shipping or the Dow Jones Composite Average indexes. To test the performance of the heuristics, three different trading scenarios are examined: annually, quarterly and monthly rebalancing, accounting for transaction costs where necessary. Competing portfolios are also assessed through predictive ability tests. Overall, the proposed investment strategies carry less risk compared to the tracked benchmark indexes while providing investors the opportunity to efficiently replicate the performance of both the stock and physical shipping indexes in the most cost-effective way. Index-tracking problem for maritime indexes. Application of evolutionary algorithms by investing in stock portfolios. Annually, quarterly and monthly rebalancing, accounting for transaction costs. Competing portfolios are also assessed through predictive ability tests. Proposed investment strategies are less risky, efficient, and cost-effective.
Related Content
Performance Evaluation of Portfolios with Margin Requirements
In financial markets, short sellers will be required to post margin to cover possible losses in case the prices of the risky assets go up. Only a few studies focus on the optimization and performance evaluation of portfolios in the presence of margin requirements. In this paper, we investigate th...


A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure
Recently, active portfolio management problems are paid close attention by many researchers due to the explosion of fund industries. We consider a numerical study of a robust active portfolio selection model with downside risk and multiple weights constraints in this paper. We compare the numeric...
Regret Theory and Equilibrium Asset Prices
Regret theory is a behavioral approach to decision making under uncertainty. In this paper we assume that there are two representative investors in a frictionless market, a representative active investor who selects his optimal portfolio based on regret theory and a representative passive investo...


Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method
We propose a new approach to optimizing portfolios to mean-variance-CVaR (MVC) model. Although of several researches have studied the optimal MVC model of portfolio, the linear weighted sum method (LWSM) was not implemented in the area. The aim of this paper is to investigate the optimal portfoli...
Optimising Reliability: Portfolio Modeling of Contract Types for Retail Water Providers
This paper considers the retail water provider’s purchasing decision of a portfolio of permanent contracts from wholesalers with multiple volatile water sources. We consider the reliability of two contract types: (1) fixed annual quantities, and an inflow harvest function with storage. Our four...

The role of transnational smuggling operations in illicit supply chains
The flow of illicit goods and services within the global economy has fostered various black markets around the world. Complex illicit supply chain structures have developed to help support this underground trade. These structures and supporting operations act as a key enabler in the functioning o...
Developing a project portfolio selection model for contractor firms considering the risk factor
Developing a project portfolio selection model for contractor firms considering the risk factor

Optimal Portfolio of Corporate Investment and Consumption Problem under Market Closure: Inflation Case
We present the model of corporate optimal investment with consideration of the influence of inflation and the difference between the market opening and market closure. In our model, the investor has three market activities of his or her choice: investment in project A, investment in project B, an...
Environmental performance and firm strategies in the dutch automotive sector
This paper explores how automotive firms positioned their portfolio since the introduction of energy labels for cars. Using data on product characteristics of automobiles offered on the Dutch market over the period 2001–2010, we analyse how car manufacturers’ product portfolios have changed. ...

Dynamic green portfolio analysis for inland ports: An empirical analysis on Western Europe
This paper offers a dynamic green portfolio analysis of a range of European inland ports, based on an adapted model of the BCG-matrix and traffic volumes generated in the period 1999–2010. Based on the analysis, we draw conclusions on how the inland port strategies reflected in changing competi...