A linear risk-return model for enhanced indexation in portfolio optimization
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Publication:2516640
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Cites work
- scientific article; zbMATH DE number 3825556 (Why is no real title available?)
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- A new method for mean-variance portfolio optimization with cardinality constraints
- An enhanced model for portfolio choice with SSD criteria: a constructive approach
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- Enhanced indexation based on second-order stochastic dominance
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- Exact and heuristic approaches for the index tracking problem with UCITS constraints
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- Frontiers of Stochastically Nondominated Portfolios
- Index-plus-alpha tracking under concave transaction cost
- Kernel search: an application to the index tracking problem
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- Mixed-integer programming approaches for index tracking and enhanced indexation
- No-arbitrage conditions, scenario trees, and multi-asset financial optimization
- Portfolio construction based on stochastic dominance and target return distributions
- Vector Optimization with Infimum and Supremum
Cited in
(17)- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Group sparse enhanced indexation model with adaptive beta value
- Index tracking with utility enhanced weighting
- Approximating exact expected utility via portfolio efficient frontiers
- On exact and approximate stochastic dominance strategies for portfolio selection
- Enhanced index tracking model with entropy maximization
- Enhanced index tracking with CVaR-based ratio measures
- Solving the index tracking problem: a continuous optimization approach
- Portfolio performance of linear SDF models: an out-of-sample assessment
- 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
- Polynomial goal programming and particle swarm optimization for enhanced indexation
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
- Linear programming models based on omega ratio for the enhanced index tracking problem
- The zero-capital approach to portfolio enhancement and overlay management
- Enhanced indexing using weighted conditional value at risk
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