Linear programming models based on omega ratio for the enhanced index tracking problem (Q322803): Difference between revisions

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-Włodzimierz Ogryczak
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-Q286991
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+Włodzimierz Ogryczak
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+Maria Grazia Speranza
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+MaRDI publication profile
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+An evolutionary heuristic for the index tracking problem.
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+Q4821526
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+Mixed-integer programming approaches for index tracking and enhanced indexation
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+Distributed optimisation of a portfolio's omega
@@ Property / cites work: Distributed optimisation of a portfolio's omega / rank @@
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+On the effectiveness of scenario generation techniques in single-period portfolio optimization
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+Kernel search: an application to the index tracking problem
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+Optimizing Omega
@@ Property / cites work: Optimizing Omega / rank @@
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+Worst-case robust Omega ratio
@@ Property / cites work: Worst-case robust Omega ratio / rank @@
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+Q5393513
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+Game Theoretical Approach for Reliable Enhanced Indexation
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+Linear and mixed integer programming for portfolio optimization
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+Q4457756
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+Twenty years of linear programming based portfolio optimization
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+From stochastic dominance to mean-risk models: Semideviations as risk measures
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+Portfolio Optimization and Performance Analysis
@@ Property / cites work: Portfolio Optimization and Performance Analysis / rank @@
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+Enhanced indexation based on second-order stochastic dominance
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+Q4649021
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