Index tracking with utility enhanced weighting

DOI10.1080/14697688.2019.1605189MaRDI QIDQ5212067zbMATH OpenOpenAlexWikidataFDO

Authors Ephraim Clark, Nitin Deshmukh, Celal Barkan Güran, Konstantino Kassimatis

Publication date 24 January 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://eprints.mdx.ac.uk/26368/1/IndexTrackingWithUtilityEnhancedWeighting.pdf

zbMATH Keywords

asset managementindex trackinginvestmentsportfolio allocationutility functions

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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Cites work

• A Test of the Efficiency of a Given Portfolio
• An enhanced model for portfolio choice with SSD criteria: a constructive approach
• An evolutionary heuristic for the index tracking problem.
• CONSISTENCY IN THE ANALYTIC HIERARCHY PROCESS: A NEW APPROACH
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Enhanced indexation based on second-order stochastic dominance
• Enhancement of equity portfolio performance using data envelopment analysis
• Evaluating naval tactical missile systems by fuzzy AHP based on the grade value of membership function
• Factor-based robust index tracking
• Hedge fund replication: a model combination approach
• scientific article; zbMATH DE number 3943488 (Why is no real title available?)
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• Making inefficient market indices efficient
• Marginal Conditional Stochastic Dominance
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Nonparametric Tests of Stochastic Dominance in Income Distributions
• On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
• Portfolio construction based on stochastic dominance and target return distributions
• Preferred by ``all and preferred by ``most decision makers: almost stochastic dominance
• Risk Aversion in the Small and in the Large
• Stochastic Dominance

Cited in

(3)

• Index tracking and enhanced indexing using mixed conditional value-at-risk
• Enhanced index tracking model with entropy maximization
• Enhanced indexation using both equity assets and index options

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