Enhanced Index Tracking is the problem of selecting a portfolio that should generate excess return with respect to a benchmark index, Here we propose a large-size linear optimization model for Enhanced Index Tracking that selects an optimal portfolio according to a new stochastic dominance criterion and we devise an efficient constraint generation technique to solve such a model. We then compare, on several well-known and publicly available financial data sets. the performances of the portfolios selected by our model to those of the portfolios obtained with other stochastic dominance approaches. The results seem to confirm the practical usefulness of stochastic dominance for portfolio selection.
A new stochastic dominance approach to enhanced index tracking problems / BRUNI, Renato; F. Cesarone; A. Scozzari; TARDELLA, Fabio. - In: ECONOMICS BULLETIN. - ISSN 1545-2921. - 32:(2012), pp. 3460-3470.
A new stochastic dominance approach to enhanced index tracking problems
TARDELLA, Fabio
2012
Abstract
Enhanced Index Tracking is the problem of selecting a portfolio that should generate excess return with respect to a benchmark index, Here we propose a large-size linear optimization model for Enhanced Index Tracking that selects an optimal portfolio according to a new stochastic dominance criterion and we devise an efficient constraint generation technique to solve such a model. We then compare, on several well-known and publicly available financial data sets. the performances of the portfolios selected by our model to those of the portfolios obtained with other stochastic dominance approaches. The results seem to confirm the practical usefulness of stochastic dominance for portfolio selection.File | Dimensione | Formato | |
---|---|---|---|
EB-12-V32-I4-P333_published.pdf
Accesso chiuso
Dimensione
632.75 kB
Formato
Adobe PDF
|
632.75 kB | Adobe PDF | Richiedi una copia |
I documenti in FLORE sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.