Enhanced index tracking with CVaR-based ratio measures (Q827152)

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scholarly article

Enhanced index tracking with CVaR-based ratio measures (English)

Annals of Operations Research

publication date

6 January 2021

zbMATH Keywords

enhanced index tracking

quantile risk measures

conditional value-at-risk

mean-risk models

risk-reward ratios

risk-averse optimization

stochastic dominance

linear programming

MaRDI profile type

MaRDI publication profile

full work available at URL

https://doi.org/10.1007/s10479-020-03518-7

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mardi Publication:827152

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