Game Theoretical Approach for Reliable Enhanced Indexation
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Cites work
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- A VaR Black-Litterman model for the construction of absolute return fund-of-funds
- Adversarial risk analysis
- Ambiguity in portfolio selection
- Ambiguous Risk Measures and Optimal Robust Portfolios
- An exact solution approach for portfolio optimization problems under stochastic and integer constraints
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theory
- scientific article; zbMATH DE number 995813 (Why is no real title available?)
- scientific article; zbMATH DE number 3621626 (Why is no real title available?)
- scientific article; zbMATH DE number 1834580 (Why is no real title available?)
- scientific article; zbMATH DE number 3257962 (Why is no real title available?)
- Mixed-integer programming approaches for index tracking and enhanced indexation
- On consistency of stochastic dominance and mean-semideviation models
- Optimal portfolio selection and dynamic benchmark tracking
- Price of correlations in stochastic optimization
- Robust Mean-Covariance Solutions for Stochastic Optimization
- Robust optimization-methodology and applications
- Robustness against dependence in PERT: An application of duality and distributions with known marginals
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- The practice of portfolio replication. A practical overview of forward and inverse problems
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Cited in
(13)- Index tracking and enhanced indexing using mixed conditional value-at-risk
- A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions
- Polynomial goal programming and particle swarm optimization for enhanced indexation
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- A linear risk-return model for enhanced indexation in portfolio optimization
- Linear programming models based on omega ratio for the enhanced index tracking problem
- The zero-capital approach to portfolio enhancement and overlay management
- Myopic robust index tracking with Bregman divergence
- Stochastic Superiority Equilibrium in Game Theory
- Liquidity-constrained index tracking optimization models
- A sparse enhanced indexation model with chance and cardinality constraints
- Fifty years of decision analysis in operational research: a review
- A sparse chance constrained portfolio selection model with multiple constraints
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