A mixed 0--1 LP for index tracking problem with CVaR risk constraints
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Cites work
- scientific article; zbMATH DE number 165316 (Why is no real title available?)
- scientific article; zbMATH DE number 1131479 (Why is no real title available?)
- A hybrid optimization approach to index tracking
- An evolutionary heuristic for the index tracking problem.
- Coherent measures of risk
- Differential evolution and combinatorial search for constrained index-tracking
- Dual Stochastic Dominance and Related Mean-Risk Models
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Portfolio optimization with linear and fixed transaction costs
- Some remarks on the value-at-risk and the conditional value-at-risk
Cited in
(20)- Enhanced index tracking with CVaR-based ratio measures
- Enhanced indexation: can volatility timing improve portfolio performance?
- Mean-risk optimization for index tracking
- Robust portfolio selection with distributional uncertainty and integer constraints
- An optimisation approach to constructing an exchange-traded fund
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Deep learning for enhanced index tracking
- Risk-allocation-based index tracking
- An enhanced GRASP approach for the index tracking problem
- Enhancing index-tracking performance: leveraging characteristic-based factor models for reduced estimation errors
- 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
- Network-based index tracking using asset dependency structures
- Tracking a rainfall index constrained by conditional value-at-risk
- Fuzzy chance-constrained project portfolio selection model based on credibility theory
- 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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