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Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem

Citations

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Cited by:

  1. Spiridon Penev & Pavel Shevchenko & Wei Wu, 2019. "Myopic robust index tracking with Bregman divergence," Papers 1908.07659, arXiv.org, revised Jul 2021.
  2. Gnägi, M. & Strub, O., 2020. "Tracking and outperforming large stock-market indices," Omega, Elsevier, vol. 90(C).
  3. Francesco Cesarone & Raffaello Cesetti & Giuseppe Orlando & Manuel Luis Martino & Jacopo Maria Ricci, 2022. "Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution," Mathematics, MDPI, vol. 11(1), pages 1-20, December.
  4. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
  5. Ruchika Sehgal & Aparna Mehra, 2023. "Quantile Regression Based Enhanced Indexing with Portfolio Rebalancing," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(3), pages 721-742, September.
  6. Xu Guo & Xuejun Jiang & Wing-Keung Wong, 2017. "Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly," Economies, MDPI, vol. 5(4), pages 1-16, October.
  7. Li, Helong & Huang, Qin & Wu, Baiyi, 2021. "Improving the naive diversification: An enhanced indexation approach," Finance Research Letters, Elsevier, vol. 39(C).
  8. Ruchika Sehgal & Aparna Mehra, 2019. "Enhanced indexing using weighted conditional value at risk," Annals of Operations Research, Springer, vol. 280(1), pages 211-240, September.
  9. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2020. "An optimization–diversification approach to portfolio selection," Journal of Global Optimization, Springer, vol. 76(2), pages 245-265, February.
  10. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
  11. Patrizia Beraldi & Maria Elena Bruni, 2022. "Enhanced indexation via chance constraints," Operational Research, Springer, vol. 22(2), pages 1553-1573, April.
  12. Mahdi Moeini, 2022. "Solving the index tracking problem: a continuous optimization approach," 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. 30(2), pages 807-835, June.
  13. Huang, Jinbo & Li, Yong & Yao, Haixiang, 2018. "Index tracking model, downside risk and non-parametric kernel estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 103-128.
  14. 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.
  15. Doering, Jana & Kizys, Renatas & Juan, Angel A. & Fitó, Àngels & Polat, Onur, 2019. "Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends," Operations Research Perspectives, Elsevier, vol. 6(C).
  16. Balter, Anne G. & Chau, Ki Wai & Schweizer, Nikolaus, 2024. "Comparative risk aversion vs. threshold choice in the Omega ratio," Omega, Elsevier, vol. 123(C).
  17. Cesarone, Francesco & Mango, Fabiomassimo & Mottura, Carlo Domenico & Ricci, Jacopo Maria & Tardella, Fabio, 2020. "On the stability of portfolio selection models," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 210-234.
  18. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2022. "Smart network based portfolios," Annals of Operations Research, Springer, vol. 316(2), pages 1519-1541, September.
  19. Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024. "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers 2403.13388, arXiv.org.
  20. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
  21. Balbás, Beatriz & Balbás, Raquel, 2018. "Relationships between the stochastic discount factor and the optimal omega ratio," IC3JM - Estudios = Working Papers 26348, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  22. Li, Xuepeng & Xu, Fengmin & Jing, Kui, 2022. "Robust enhanced indexation with ESG: An empirical study in the Chinese Stock Market," Economic Modelling, Elsevier, vol. 107(C).
  23. Huang, Jinbo & Li, Yong & Yao, Haixiang, 2022. "Partial moments and indexation investment strategies," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 39-59.
  24. Yang, Tingting & Huang, Xiaoxia, 2022. "Two new mean–variance enhanced index tracking models based on uncertainty theory," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  25. Lorenzo Reus & Rodolfo Prado, 2022. "Need to Meet Investment Goals? Track Synthetic Indexes with the SDDP Method," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 47-69, June.
  26. Francesco Cesarone & Justo Puerto, 2024. "New approximate stochastic dominance approaches for Enhanced Indexation models," Papers 2401.12669, arXiv.org.
  27. 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.
  28. F. Hooshmand & Z. Rasouli, 2023. "Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm," OPSEARCH, Springer;Operational Research Society of India, vol. 60(3), pages 1286-1311, September.
  29. Wlodzimierz Ogryczak & Michał Przyłuski & Tomasz Śliwiński, 2017. "Efficient optimization of the reward-risk ratio with polyhedral risk measures," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(3), pages 625-653, December.
  30. Yu, Jing-Rung & Paul Chiou, Wan-Jiun & Hsin, Yi-Ting & Sheu, Her-Jiun, 2022. "Omega portfolio models with floating return threshold," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 743-758.
  31. Corsaro, Stefania & De Simone, Valentina & Marino, Zelda, 2021. "Split Bregman iteration for multi-period mean variance portfolio optimization," Applied Mathematics and Computation, Elsevier, vol. 392(C).
  32. Tingting Yang & Xiaoxia Huang, 2022. "A New Portfolio Optimization Model Under Tracking-Error Constraint with Linear Uncertainty Distributions," Journal of Optimization Theory and Applications, Springer, vol. 195(2), pages 723-747, November.
  33. Amita Sharma & Sebastian Utz & Aparna Mehra, 2017. "Omega-CVaR portfolio optimization and its worst case analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(2), pages 505-539, March.
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