A risk-gain dominance maximization approach to enhanced index tracking
Francesco Cesarone, Lorenzo Lampariello, Simone Sagratella
| Year of publication: |
2019
|
|---|---|
| Authors: | Cesarone, Francesco ; Lampariello, Lorenzo ; Sagratella, Simone |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 29.2019, p. 231-238
|
| Subject: | Asset allocation | Portfolio performance measures optimization | Enhanced indexation | Nonlinear programming | Portfolio-Management | Portfolio selection | Theorie | Theory | Aktienindex | Stock index | Index | Index number | Mathematische Optimierung | Mathematical programming | Nichtlineare Optimierung |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2018.08.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012418767