Enhanced index tracking with CVaR-based ratio measures
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Cites work
- scientific article; zbMATH DE number 165316 (Why is no real title available?)
- scientific article; zbMATH DE number 2061975 (Why is no real title available?)
- scientific article; zbMATH DE number 5879523 (Why is no real title available?)
- A linear risk-return model for enhanced indexation in portfolio optimization
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- Dual Stochastic Dominance and Related Mean-Risk Models
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- Enhanced indexation based on second-order stochastic dominance
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- Factor-based robust index tracking
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- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- Index-plus-alpha tracking under concave transaction cost
- Kernel search: an application to the index tracking problem
- LP solvable models for portfolio optimization: a classification and computational comparison
- Linear programming models based on omega ratio for the enhanced index tracking problem
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Omega-CVaR portfolio optimization and its worst case analysis
- On relations between DEA-risk models and stochastic dominance efficiency tests
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Optimal portfolio selection and dynamic benchmark tracking
- Optimality conditions in portfolio analysis with general deviation measures
- Programming with linear fractional functionals
- Some remarks on the value-at-risk and the conditional value-at-risk
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Cited in
(12)- A robust ordered weighted averaging loss model for portfolio optimization
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Deep learning for enhanced index tracking
- Risk-allocation-based index tracking
- Penalized enhanced portfolio replication with asymmetric deviation measures
- A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions
- Index tracking model, downside risk and non-parametric kernel estimation
- Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
- Enhanced indexing using weighted conditional value at risk
- Tracking a rainfall index constrained by conditional value-at-risk
- A mixed 0--1 LP for index tracking problem with CVaR risk constraints
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
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