Enhanced index tracking with CVaR-based ratio measures
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Publication:827152
DOI10.1007/S10479-020-03518-7zbMath1455.91236OpenAlexW3003265003MaRDI QIDQ827152
Publication date: 6 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-020-03518-7
linear programmingstochastic dominancemean-risk modelsconditional value-at-riskquantile risk measuresenhanced index trackingrisk-averse optimizationrisk-reward ratios
Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Multi-objective and goal programming (90C29) Linear programming (90C05) Portfolio theory (91G10)
Related Items (3)
Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach ⋮ Risk-allocation-based index tracking
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