CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints
Year of publication: |
2021
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Authors: | Zhao, Zhihua ; Wang, Hao ; Yang, Xiangyu ; Xu, Fengmin |
Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 28.2021, 3, p. 201-207
|
Subject: | cardinality | CVaR | Enhanced indexation | mixed-integer program | out-of-sample analysis | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Index | Index number |
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