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Optimal portfolio selection and dynamic benchmark tracking
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Cited by:
- Lorimer, Douglas Austen & van Schalkwyk, Cornelis Hendrik & Szczygielski, Jan Jakub, 2024. "Portfolio optimisation using alternative risk measures," Finance Research Letters, Elsevier, vol. 67(PA).
- Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
- James Primbs & Chang Sung, 2008. "A Stochastic Receding Horizon Control Approach to Constrained Index Tracking," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(1), pages 3-24, March.
- Spiridon Penev & Pavel Shevchenko & Wei Wu, 2019. "Myopic robust index tracking with Bregman divergence," Papers 1908.07659, arXiv.org, revised Jul 2021.
- Gnägi, M. & Strub, O., 2020. "Tracking and outperforming large stock-market indices," Omega, Elsevier, vol. 90(C).
- Héctor Jasso-Fuentes & Gladys D. Salgado-Suárez, 2024. "A discrete-time benchmark tracking problem in two markets subject to random environments," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 46(4), pages 1265-1294, December.
- Diana Barro & Elio Canestrelli, 2014.
"Downside risk in multiperiod tracking error models,"
Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 263-283, June.
- Diana Barro & Elio Canestrelli, 2012. "Downside risk in multiperiod tracking error models," Working Papers 2012_17, Department of Economics, University of Venice "Ca' Foscari".
- Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
- Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2019. "Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method," Post-Print hal-02909342, HAL.
- Palomba, Giulio & Riccetti, Luca, 2012.
"Portfolio frontiers with restrictions to tracking error volatility and value at risk,"
Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2604-2615.
- Giulio PALOMBA & Luca RICCETTI, 2011. "Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk," Working Papers 358, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Argimiro Arratia & Henryk Gzyl & Silvia Mayoral, 2024. "How to Keep Your Portfolio Close in Risk and Diversification to a Desired Benchmark," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1489-1505, September.
- Yu, Bosco Wing-Tong & Pang, Wan Kai & Troutt, Marvin D. & Hou, Shui Hung, 2009. "Objective comparisons of the optimal portfolios corresponding to different utility functions," European Journal of Operational Research, Elsevier, vol. 199(2), pages 604-610, December.
- Lijun Bo & Yijie Huang & Kaixin Yan & Xiang Yu, 2024. "Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint," Papers 2410.16611, arXiv.org.
- Lijun Bo & Huafu Liao & Xiang Yu, 2020. "Optimal Tracking Portfolio with A Ratcheting Capital Benchmark," Papers 2006.13661, arXiv.org, revised Apr 2021.
- Wu, Dexiang & Kwon, Roy H. & Costa, Giorgio, 2017. "A constrained cluster-based approach for tracking the S&P 500 index," International Journal of Production Economics, Elsevier, vol. 193(C), pages 222-243.
- Liang-chuan Wu & I-chan Tsai, 2014. "Three fuzzy goal programming models for index portfolios," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(8), pages 1155-1169, August.
- Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2017. "Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method," Papers 1704.00416, arXiv.org, revised Jun 2019.
- Xianhua Peng & Chenyin Gong & Xue Dong He, 2023. "Reinforcement Learning for Financial Index Tracking," Papers 2308.02820, arXiv.org, revised Nov 2024.
- Strub, O. & Baumann, P., 2018. "Optimal construction and rebalancing of index-tracking portfolios," European Journal of Operational Research, Elsevier, vol. 264(1), pages 370-387.
- Fengmin Xu & Meihua Wang & Yu-Hong Dai & Dachuan Xu, 2018. "A sparse enhanced indexation model with chance and cardinality constraints," Journal of Global Optimization, Springer, vol. 70(1), pages 5-25, January.
- Lassance, Nathan & Vrins, Frédéric, 2023.
"Portfolio selection: A target-distribution approach,"
European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
- Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio Selection: A Target-Distribution Approach," LIDAM Discussion Papers LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
- Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," LIDAM Reprints LFIN 2023004, Université catholique de Louvain, Louvain Finance (LFIN).
- Di Giacinto, Marina & Federico, Salvatore & Gozzi, Fausto & Vigna, Elena, 2014.
"Income drawdown option with minimum guarantee,"
European Journal of Operational Research, Elsevier, vol. 234(3), pages 610-624.
- Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
- Miguel A. Lejeune, 2012. "Game Theoretical Approach for Reliable Enhanced Indexation," Decision Analysis, INFORMS, vol. 9(2), pages 146-155, June.
- Diana Barro & Elio Canestrelli, 2009.
"Tracking error: a multistage portfolio model,"
Annals of Operations Research, Springer, vol. 165(1), pages 47-66, January.
- Diana Barro & Elio Canestrelli, 2005. "Tracking Error: a multistage portfolio model," GE, Growth, Math methods 0510012, University Library of Munich, Germany.
- Giuseppe Galloppo, 2010. "A Comparison Of Pre And Post Modern Portfolio Theory Using Resampling," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 4(1), pages 1-16.
- Benati, Stefano & Rizzi, Romeo, 2007. "A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem," European Journal of Operational Research, Elsevier, vol. 176(1), pages 423-434, January.
- Lijun Bo & Yijie Huang & Xiang Yu, 2023. "Stochastic control problems with state-reflections arising from relaxed benchmark tracking," Papers 2302.08302, arXiv.org, revised Apr 2024.
- Yang, Jen-Wei, 2024. "Benchmark-based strategy for minimizing Riskiness," Finance Research Letters, Elsevier, vol. 60(C).
- Diana Barro & Elio Canestrelli & Giorgio Consigli, 2019. "Volatility versus downside risk: performance protection in dynamic portfolio strategies," Computational Management Science, Springer, vol. 16(3), pages 433-479, July.
- Emilio Ricardo Carvalhais & Antonio Marcos Duarte Júnior, 2015. "Indexation of Fixed-Income Portfolios to the IMA-B," Brazilian Business Review, Fucape Business School, vol. 12(3), pages 116-142, May.
- Diana Barro & Elio Canestrelli & Fabio Lanza, 2014. "Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance," Working Papers 2014:18, Department of Economics, University of Venice "Ca' Foscari".
- Lijun Bo & Yijie Huang & Xiang Yu, 2023. "An extended Merton problem with relaxed benchmark tracking," Papers 2304.10802, arXiv.org, revised Jul 2024.
- Gianfranco Guastaroba & Renata Mansini & Wlodzimierz Ogryczak & M. Grazia Speranza, 2020. "Enhanced index tracking with CVaR-based ratio measures," Annals of Operations Research, Springer, vol. 292(2), pages 883-931, September.
- Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
- Chuting Sun & Qi Wu & Xing Yan, 2023. "Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning," Papers 2301.07318, arXiv.org, revised Jan 2024.
- Giuzio, Margherita & Ferrari, Davide & Paterlini, Sandra, 2016. "Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization," European Journal of Operational Research, Elsevier, vol. 250(1), pages 251-261.
- Massimo Biasin & Roy Cerqueti & Emanuela Giacomini & Nicoletta Marinelli & Anna Grazia Quaranta & Luca Riccetti, 2019. "Macro Asset Allocation with Social Impact Investments," Sustainability, MDPI, vol. 11(11), pages 1-19, June.
- Singer, Nico, 2010. "Safety-first portfolio optimization: Fixed versus random target," Thuenen-Series of Applied Economic Theory 113, University of Rostock, Institute of Economics.
- Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
- Menoncin, Francesco & Vigna, Elena, 2017. "Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 172-184.
- Lioui, Abraham & Poncet, Patrice, 2013. "Optimal benchmarking for active portfolio managers," European Journal of Operational Research, Elsevier, vol. 226(2), pages 268-276.
- Sant’Anna, Leonardo R. & Filomena, Tiago P. & Caldeira, João F., 2017. "Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 146-157.
- Julio Cezar Soares Silva & Adiel Teixeira de Almeida Filho, 2023. "A systematic literature review on solution approaches for the index tracking problem in the last decade," Papers 2306.01660, arXiv.org, revised Jun 2023.
- Leonardo Riegel Sant’Anna & Tiago Pascoal Filomena & Pablo Cristini Guedes & Denis Borenstein, 2017. "Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming," Annals of Operations Research, Springer, vol. 258(2), pages 849-867, November.
- Sant’Anna, Leonardo Riegel & Righi, Marcelo Brutti & Müller, Fernanda Maria & Guedes, Pablo Cristini, 2022. "Risk measure index tracking model," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 361-383.
- Sun, Chuting & Wu, Qi & Yan, Xing, 2024. "Dynamic CVaR portfolio construction with attention-powered generative factor learning," Journal of Economic Dynamics and Control, Elsevier, vol. 160(C).
- Miguel A. Lejeune & Gülay Samatlı-Paç, 2013. "Construction of Risk-Averse Enhanced Index Funds," INFORMS Journal on Computing, INFORMS, vol. 25(4), pages 701-719, November.
- Chu, Ba & Knight, John & Satchell, Stephen, 2011. "Large deviations theorems for optimal investment problems with large portfolios," European Journal of Operational Research, Elsevier, vol. 211(3), pages 533-555, June.
- van Staden, Pieter M. & Forsyth, Peter A. & Li, Yuying, 2024. "Across-time risk-aware strategies for outperforming a benchmark," European Journal of Operational Research, Elsevier, vol. 313(2), pages 776-800.
- Canakgoz, N.A. & Beasley, J.E., 2009. "Mixed-integer programming approaches for index tracking and enhanced indexation," European Journal of Operational Research, Elsevier, vol. 196(1), pages 384-399, July.
- Christopher Dance & Alexei Gaivoronski, 2012. "Stochastic optimization for real time service capacity allocation under random service demand," Annals of Operations Research, Springer, vol. 193(1), pages 221-253, March.