Enhanced indexing using weighted conditional value at risk
Author:
Funder
Indian Institute of Technology Delhi
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/article/10.1007/s10479-019-03132-2/fulltext.html
Reference37 articles.
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2. Beasley, J. E., Meade, N., & Chang, T. J. (2003). An evolutionary heuristic for the index tracking problem. European Journal of Operational Research, 148(3), 621–643.
3. Bruni, R., Cesarone, F., Scozzari, A., & Tardella, F. (2015). A linear risk-return model for enhanced indexation in portfolio optimization. OR Spectrum, 37(3), 735–759.
4. Canakgoz, N. A., & Beasley, J. E. (2009). Mixed-integer programming approaches for index tracking and enhanced indexation. European Journal of Operational Research, 196(1), 384–399.
5. De Paulo, W. L., De Oliveira, E. M., & Do Valle Costa, O. L. (2016). Enhanced index tracking optimal portfolio selection. Finance Research Letters, 16, 93–102.
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