Related references
Note: Only part of the references are listed.Tracking and outperforming large stock-market indices
M. Gnagi et al.
OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE (2020)
A risk-gain dominance maximization approach to enhanced index tracking
Francesco Cesarone et al.
FINANCE RESEARCH LETTERS (2019)
A sparse enhanced indexation model with chance and cardinality constraints
Fengmin Xu et al.
JOURNAL OF GLOBAL OPTIMIZATION (2018)
Minimizing the tracking error of cardinality constrained portfolios
Purity Mutunge et al.
COMPUTERS & OPERATIONS RESEARCH (2018)
Index tracking and enhanced indexing using mixed conditional value-at-risk
Anubha Goel et al.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2018)
Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
Leonardo Riegel Sant'Anna et al.
ANNALS OF OPERATIONS RESEARCH (2017)
Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
Amita Sharma et al.
OPTIMIZATION AND ENGINEERING (2017)
A Probabilistically Constrained Approach for the Energy Procurement Problem
Patrizia Beraldi et al.
ENERGIES (2017)
On exact and approximate stochastic dominance strategies for portfolio selection
Renato Bruni et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2017)
Portfolio Choice Based on Third-Degree Stochastic Dominance
Thierry Post et al.
MANAGEMENT SCIENCE (2017)
Do Enhanced Index Funds Truly Have Enhanced Performance? Evidence from the Chinese Market
Yin-Che Weng et al.
EMERGING MARKETS FINANCE AND TRADE (2017)
Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem
G. Guastaroba et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2016)
Enhanced index tracking optimal portfolio selection
Wanderlei Lima de Paulo et al.
FINANCE RESEARCH LETTERS (2016)
The mixed capacitated general routing problem under uncertainty
Patrizia Beraldi et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2015)
A linear risk-return model for enhanced indexation in portfolio optimization
Renato Bruni et al.
OR SPECTRUM (2015)
Absolute return portfolios
C. A. Valle et al.
OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE (2014)
Enhanced indexation based on second-order stochastic dominance
Diana Roman et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2013)
The Express heuristic for probabilistically constrained integer problems
Maria Elena Bruni et al.
JOURNAL OF HEURISTICS (2013)
Construction of Risk-Averse Enhanced Index Funds
Miguel A. Lejeune et al.
INFORMS JOURNAL ON COMPUTING (2013)
Capital rationing problems under uncertainty and risk
Patrizia Beraldi et al.
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS (2012)
Game Theoretical Approach for Reliable Enhanced Indexation
Miguel A. Lejeune
DECISION ANALYSIS (2012)
Enhanced index tracking based on multi-objective immune algorithm
Qian Li et al.
EXPERT SYSTEMS WITH APPLICATIONS (2011)
An exact approach for solving integer problems under probabilistic constraints with random technology matrix
Patrizia Beraldi et al.
ANNALS OF OPERATIONS RESEARCH (2010)
Generating scenario trees: A parallel integrated simulation-optimization approach
Patrizia Beraldi et al.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2010)
A two-stage stochastic mixed-integer programming approach to the index tracking problem
Stephen J. Stoyan et al.
OPTIMIZATION AND ENGINEERING (2010)
Mixed-integer programming approaches for index tracking and enhanced indexation
N. A. Canakgoz et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2009)
NEW FORMULATIONS FOR OPTIMIZATION UNDER STOCHASTIC DOMINANCE CONSTRAINTS
James Luedtke
SIAM JOURNAL ON OPTIMIZATION (2008)
Enhanced index investing based on goal programming - Includes passive management of a small number of stocks.
Liang-Chuan Wu et al.
JOURNAL OF PORTFOLIO MANAGEMENT (2007)
Beam search heuristic to solve stochastic integer problems under probabilistic constraints
P Beraldi et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2005)
Performance of Enhanced Index and Quantitative Equity Funds
Parvez Ahmed et al.
FINANCIAL REVIEW (2005)
Efficient diversification according to Stochastic dominance criteria
T Kuosmanen
MANAGEMENT SCIENCE (2004)
An evolutionary heuristic for the index tracking problem
JE Beasley et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2003)
Optimization with stochastic dominance constraints
D Dentcheva et al.
SIAM JOURNAL ON OPTIMIZATION (2003)
Share Paper
