Index tracking and enhanced indexing using mixed conditional value-at-risk
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Cites work
- A hybrid optimization approach to index tracking
- A linear risk-return model for enhanced indexation in portfolio optimization
- An efficient optimization approach for a cardinality-constrained index tracking problem
- An evolutionary heuristic for the index tracking problem.
- Coherent measures of risk
- Conditional value at risk and related linear programming models for portfolio optimization
- Conditional value-at-risk in portfolio optimization: coherent but fragile
- Conditional value-at-risk: optimization approach
- Credit risk optimization with conditional Value-at-Risk criterion
- DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- Dual Stochastic Dominance and Related Mean-Risk Models
- Enhanced indexation based on second-order stochastic dominance
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- Game Theoretical Approach for Reliable Enhanced Indexation
- scientific article; zbMATH DE number 5879523 (Why is no real title available?)
- Integrated simulation and optimization models for tracking international fixed income indices
- Kernel search: an application to the index tracking problem
- Linear programming models based on omega ratio for the enhanced index tracking problem
- Mean-risk models using two risk measures: a multi-objective approach
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Multiple criteria linear programming model for portfolio selection
- Omega-CVaR portfolio optimization and its worst case analysis
- On exact and approximate stochastic dominance strategies for portfolio selection
- Optimal Financial Portfolios
- Optimal Index Tracking Under Transaction Costs and Impulse Control
- Optimization with Stochastic Dominance Constraints
- Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz
- Programming with linear fractional functionals
- Risk tuning with generalized linear regression
- Some remarks on the value-at-risk and the conditional value-at-risk
- Worst-case conditional value-at-risk with application to robust portfolio management
Cited in
(16)- Robust optimization of mixed CVaR STARR ratio using copulas
- Robust omega ratio optimization using regular vines
- Enhanced indexing using weighted conditional value at risk
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
- Estimation risk and the implicit value of index-tracking
- Index tracking with utility enhanced weighting
- Enhanced index tracking model with entropy maximization
- scientific article; zbMATH DE number 5879523 (Why is no real title available?)
- Robust enhanced indexation optimization with sparse industry Layout constraint
- Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
- Risk-allocation-based index tracking
- Enhanced indexation: can volatility timing improve portfolio performance?
- Axiomatic risk sharing and capital allocation
- A general framework for nonconvex sparse mean-CVaR portfolio optimization via ADMM
- Enhanced index tracking with CVaR-based ratio measures
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