scientific article; zbMATH DE number 5879523

zbMath1209.91148MaRDI QIDQ5393513

Tomoyuki Koshizuka, Rei Yamamoto, Hiroshi Konno

Publication date: 18 April 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

correlation coefficienttracking errorconvex minimization problemenhanced index approachindex-plus-alpha portfolio

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

Related Items (6)

Enhanced index tracking with CVaR-based ratio measures ⋮ Linear programming models based on omega ratio for the enhanced index tracking problem ⋮ Enhanced indexing for risk averse investors using relaxed second order stochastic dominance ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ Enhanced indexing using weighted conditional value at risk ⋮ A linear risk-return model for enhanced indexation in portfolio optimization

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