Game Theoretical Approach for Reliable Enhanced Indexation

DOI10.1287/deca.1120.0239zbMath1398.91531OpenAlexW2166998919MaRDI QIDQ4691960

Miguel A. Lejeune

Publication date: 24 October 2018

Published in: Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/deca.1120.0239

zbMATH Keywords

game theorystochastic optimizationreliabilityenhanced indexation

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

Related Items

Linear programming models based on omega ratio for the enhanced index tracking problem ⋮ Myopic robust index tracking with Bregman divergence ⋮ Enhanced indexing for risk averse investors using relaxed second order stochastic dominance ⋮ Liquidity-constrained index tracking optimization models ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ A sparse enhanced indexation model with chance and cardinality constraints ⋮ A sparse chance constrained portfolio selection model with multiple constraints ⋮ A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions ⋮ Stochastic Superiority Equilibrium in Game Theory

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