Enhanced indexing using weighted conditional value at risk

DOI10.1007/S10479-019-03132-2MaRDI QIDQ2288879zbMATH OpenOpenAlexWikidataFDO

Authors Ruchika Sehgal, Aparna Mehra

Publication date 20 January 2020

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

Full work available at URL https://doi.org/10.1007/s10479-019-03132-2

zbMATH Keywords

conditional value at riskenhanced indexingGini mean differenceSharpe ratioupside potential ratioweighted conditional value at risk

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

• A linear risk-return model for enhanced indexation in portfolio optimization
• A mixed 0--1 LP for index tracking problem with CVaR risk constraints
• An evolutionary heuristic for the index tracking problem.
• Conditional value at risk and related linear programming models for portfolio optimization
• Dual Stochastic Dominance and Quantile Risk Measures
• Dual Stochastic Dominance and Related Mean-Risk Models
• Enhanced indexation based on second-order stochastic dominance
• Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
• scientific article; zbMATH DE number 1836443 (Why is no real title available?)
• scientific article; zbMATH DE number 5879523 (Why is no real title available?)
• Kernel search: an application to the index tracking problem
• Linear programming models based on omega ratio for the enhanced index tracking problem
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria
• Tractable almost stochastic dominance

Cited in

(5)

• Index tracking and enhanced indexing using mixed conditional value-at-risk
• Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
• Two-stage international portfolio models with higher moment risk measures
• Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
• Enhanced index tracking with CVaR-based ratio measures

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