A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions

DOI10.1007/s10957-022-02116-wOpenAlexW4304607069MaRDI QIDQ2093295

Tingting Yang, Xiaoxia Huang

Publication date: 7 November 2022

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-022-02116-w

zbMATH Keywords

portfolio selectionuncertainty theoryuncertain programmingenhanced index tracking model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

• Linear programming models based on omega ratio for the enhanced index tracking problem
• Kernel search: an application to the index tracking problem
• Shortest path problem with uncertain arc lengths
• Active portfolio management with benchmarking: adding a value-at-risk constraint
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
• Optimal construction and rebalancing of index-tracking portfolios
• An evolutionary heuristic for the index tracking problem.
• Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Mean-chance model for portfolio selection based on uncertain measure
• Game Theoretical Approach for Reliable Enhanced Indexation
• Uncertain portfolio selection with mental accounts
• Solving geometric programming problems with normal, linear and zigzag uncertainty distributions
• Uncertainty theory
• Uncertainty theory