A linear risk-return model for enhanced indexation in portfolio optimization
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Publication:2516640
DOI10.1007/S00291-014-0383-6zbMATH Open1318.91175OpenAlexW2015060831MaRDI QIDQ2516640FDOQ2516640
Fabio Tardella, Renato Bruni, Andrea Scozzari, Francesco Cesarone
Publication date: 3 August 2015
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00291-014-0383-6
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Cites Work
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Cited In (13)
- Enhanced index tracking with CVaR-based ratio measures
- Solving the index tracking problem: a continuous optimization approach
- Approximating exact expected utility via portfolio efficient frontiers
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Financial optimization: optimization paradigms and financial planning under uncertainty
- Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- Polynomial goal programming and particle swarm optimization for enhanced indexation
- Linear programming models based on omega ratio for the enhanced index tracking problem
- On exact and approximate stochastic dominance strategies for portfolio selection
- Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
- Enhanced indexing using weighted conditional value at risk
- Portfolio performance of linear SDF models: an out-of-sample assessment
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