A mixed 0--1 LP for index tracking problem with CVaR risk constraints
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Publication:1761842
DOI10.1007/S10479-011-1042-9zbMATH Open1251.90292OpenAlexW2062059540MaRDI QIDQ1761842FDOQ1761842
Authors: Meihua Wang, Hongang Xue, Cheng-Xian Xu, Feng-Min 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
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Cites Work
- Coherent measures of risk
- An evolutionary heuristic for the index tracking problem.
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Dual Stochastic Dominance and Related Mean-Risk Models
- Portfolio optimization with linear and fixed transaction costs
- Some remarks on the value-at-risk and the conditional value-at-risk
- Title not available (Why is that?)
- A hybrid optimization approach to index tracking
- Differential evolution and combinatorial search for constrained index-tracking
- Title not available (Why is that?)
Cited In (13)
- Mean-risk optimization for index tracking
- Fuzzy Chance-Constrained Project Portfolio Selection Model Based on Credibility Theory
- An optimisation approach to constructing an exchange-traded fund
- Deep learning for enhanced index tracking
- Risk-allocation-based index tracking
- An enhanced GRASP approach for the index tracking problem
- Linear programming models based on omega ratio for the enhanced index tracking problem
- Index tracking model, downside risk and non-parametric kernel estimation
- Enhanced indexing using weighted conditional value at risk
- Twenty years of linear programming based portfolio optimization
- The new one-sided financial index tracking model based on lower partial moment risk measures and the \(t\)-distribution
- A downside risk analysis based on financial index tracking models
- A numerical study for robust active portfolio management with worst-case downside risk measure
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