Construction of risk-averse enhanced index funds
Miguel A. Lejeune; Gülay Samatlı-Paç
| Year of publication: |
2013
|
|---|---|
| Authors: | Lejeune, Miguel A. ; Samatlı-Paç, Gülay |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 25.2013, 4, p. 701-719
|
| Subject: | stochastic programming | enhanced index fund | risk aversion | outer approximation | Risikoaversion | Risk aversion | Investmentfonds | Investment Fund | Theorie | Theory | Portfolio-Management | Portfolio selection | Index | Index number | Risiko | Risk | Stochastischer Prozess | Stochastic process | Indexderivat | Index derivative | Aktienindex | Stock index |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010203600