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.
A Linear Programming Model for Enhanced Indexation based on Strong Stochastic Dominance / -; R. Bruni; F. Cesarone; A. Scozzari; F. Tardella. - (2012). ( 25th European Conference of Operational Research Vilnius, Lithuania 2012).
A Linear Programming Model for Enhanced Indexation based on Strong Stochastic Dominance
F. Tardella
2012
Abstract
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.
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