A mixed 0--1 LP for index tracking problem with CVaR risk constraints

DOI10.1007/s10479-011-1042-9zbMath1251.90292OpenAlexW2062059540MaRDI QIDQ1761842

Hongang Xue, Meihua Wang, Feng-Min Xu, Cheng-Xian Xu

Publication date: 15 November 2012

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-011-1042-9

zbMATH Keywords

cardinality constraintsindex trackingCVaR constraintsmixed 0--1 LP

Mathematics Subject Classification ID

Mixed integer programming (90C11) Credit risk (91G40)

Related Items (8)

Index tracking model, downside risk and non-parametric kernel estimation ⋮ An enhanced GRASP approach for the index tracking problem ⋮ Risk-allocation-based index tracking ⋮ Fuzzy Chance-Constrained Project Portfolio Selection Model Based on Credibility Theory ⋮ A numerical study for robust active portfolio management with worst-case downside risk measure ⋮ Enhanced indexing using weighted conditional value at risk ⋮ Twenty years of linear programming based portfolio optimization ⋮ An optimisation approach to constructing an exchange-traded fund

Uses Software

• CPLEX

Cites Work

• A hybrid optimization approach to index tracking
• An evolutionary heuristic for the index tracking problem.
• Differential evolution and combinatorial search for constrained index-tracking
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Portfolio optimization with linear and fixed transaction costs
• Coherent Measures of Risk
• Dual Stochastic Dominance and Related Mean-Risk Models
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