Enhanced indexing for risk averse investors using relaxed second order stochastic dominance

DOI10.1007/S11081-016-9329-YzbMath1371.91167OpenAlexW2487052625MaRDI QIDQ2402580

Amita Sharma, Aparna Mehra, Shubhada Agrawal

Publication date: 8 September 2017

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-016-9329-y

zbMATH Keywords

stochastic dominancesecond order stochastic dominanceenhanced indexing\(\epsilon\)-almost stochastic dominancerelaxed stochastic dominance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Related Items (8)

Enhanced index tracking with CVaR-based ratio measures ⋮ A two-stage approach to the UCITS-constrained index-tracking problem ⋮ Polynomial goal programming and particle swarm optimization for enhanced indexation ⋮ Deviation measure in second‐order stochastic dominance with an application to enhanced indexing ⋮ Worst-case analysis of Gini mean difference safety measure ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ Enhanced indexing using weighted conditional value at risk ⋮ Sectoral portfolio optimization by judicious selection of financial ratios via PCA

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