Index tracking and enhanced indexing using mixed conditional value-at-risk
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Publication:1743942
DOI10.1016/j.cam.2017.12.015zbMath1408.91238OpenAlexW2777839655MaRDI QIDQ1743942
Aparna Mehra, Amita Sharma, Anubha Goel
Publication date: 16 April 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2017.12.015
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Portfolio theory (91G10)
Related Items (6)
Enhanced index tracking with CVaR-based ratio measures ⋮ Robust optimization of mixed CVaR STARR ratio using copulas ⋮ 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 ⋮ Robust omega ratio optimization using regular vines
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