In this work, we propose a linear programming model for enhanced indexation that selects an optimal portfolio according to a generalization of strong stochastic dominance. Since our model has an exponential number of constraints, we solve it through a constraint generation procedure. Results are presented for well-known financial data sets showing good out-of-sample performance of our model
For stochastic optimization problems involving dominance constraints of the second order, using the ...
3noEnhanced indexation is an investment strategy that aims to generate moderate and consistent exces...
We use modern approach of stochastic dominance in portfolio optimization, where we want the portfoli...
In the field of Portfolio Optimization, Enhanced Indexation is the problem of selecting a portfolio...
Enhanced Indexation is the selection of a portfolio that should produce a return in excess to that o...
Enhanced Indexation is the problem of selecting a portfolio that should produce excess return with r...
One recent and promising strategy for Enhanced Indexation [1,5] is the selection of portfolios that ...
In this work we propose a linear bi-objective optimization approach to Enhanced Indexation that maxi...
A new Linear Programming model for Enhanced Indexation is proposed. It has several positive features...
Enhanced indexation (EI) is the problem of selecting a portfolio that should produce excess return w...
Enhanced Indexation is the problem of selecting a portfolio that generates excess return with respe...
The main topic of this thesis is the application of stochastic dominance constrains to portfolio opt...
AbstractSecond order Stochastic Dominance (SSD) has a well recognised importance in portfolio select...
Import 11/02/2016Import 02/11/2016This work debates several approaches to solve the benchmark tracki...
In this study, the strategy of effective asset allocation under uncertainty with the capability of r...
For stochastic optimization problems involving dominance constraints of the second order, using the ...
3noEnhanced indexation is an investment strategy that aims to generate moderate and consistent exces...
We use modern approach of stochastic dominance in portfolio optimization, where we want the portfoli...
In the field of Portfolio Optimization, Enhanced Indexation is the problem of selecting a portfolio...
Enhanced Indexation is the selection of a portfolio that should produce a return in excess to that o...
Enhanced Indexation is the problem of selecting a portfolio that should produce excess return with r...
One recent and promising strategy for Enhanced Indexation [1,5] is the selection of portfolios that ...
In this work we propose a linear bi-objective optimization approach to Enhanced Indexation that maxi...
A new Linear Programming model for Enhanced Indexation is proposed. It has several positive features...
Enhanced indexation (EI) is the problem of selecting a portfolio that should produce excess return w...
Enhanced Indexation is the problem of selecting a portfolio that generates excess return with respe...
The main topic of this thesis is the application of stochastic dominance constrains to portfolio opt...
AbstractSecond order Stochastic Dominance (SSD) has a well recognised importance in portfolio select...
Import 11/02/2016Import 02/11/2016This work debates several approaches to solve the benchmark tracki...
In this study, the strategy of effective asset allocation under uncertainty with the capability of r...
For stochastic optimization problems involving dominance constraints of the second order, using the ...
3noEnhanced indexation is an investment strategy that aims to generate moderate and consistent exces...
We use modern approach of stochastic dominance in portfolio optimization, where we want the portfoli...