A new Linear Programming model for Enhanced Indexation is proposed. It has several positive features, and a good practical behavior. Computational analysis and comparison on real-world portfolio optimization problems is presented.
A Linear Risk-Return Approach to Enhanced Indexation / Renato Bruni; F. Cesarone; A. Scozzari; Fabio Tardella. - STAMPA. - (2012). (Intervento presentato al convegno 25th European Conference on Operational Research tenutosi a Vilnius, Lituania nel Luglio 2012).
A Linear Risk-Return Approach to Enhanced Indexation
Fabio Tardella
2012
Abstract
A new Linear Programming model for Enhanced Indexation is proposed. It has several positive features, and a good practical behavior. Computational analysis and comparison on real-world portfolio optimization problems is presented.
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