  The passive management approach offers conservative investors a way to reduce
risk concerning the market. This investment strategy aims at replicating a
specific index, such as the NASDAQ Composite or the FTSE100 index. The problem
is that buying all the index's assets incurs high rebalancing costs, and this
harms future returns. The index tracking problem concerns building a portfolio
that follows a specific benchmark with fewer transaction costs. Since a subset
of assets is required to solve the index problem this class of problems is
NP-hard, and in the past years, researchers have been studying solution
approaches to obtain tracking portfolios more practically. This work brings an
analysis, spanning the last decade, of the advances in mathematical approaches
for index tracking. The systematic literature review covered important issues,
such as the most relevant research areas, solution methods, and model
structures. Special attention was given to the exploration and analysis of
metaheuristics applied to the index tracking problem.
