Enhanced index tracking with CVaR-based ratio measures
DOI10.1007/S10479-020-03518-7zbMATH Open1455.91236OpenAlexW3003265003MaRDI QIDQ827152FDOQ827152
Authors: N. E. Zubov 
Publication date: 6 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-020-03518-7
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linear programmingstochastic dominanceconditional value-at-riskquantile risk measuresmean-risk modelsenhanced index trackingrisk-averse optimizationrisk-reward ratios
Linear programming (90C05) Multi-objective and goal programming (90C29) Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)
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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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