Enhanced index tracking with CVaR-based ratio measures
Gianfranco Guastaroba, Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza
| Year of publication: |
2020
|
|---|---|
| Authors: | Guastaroba, Gianfranco ; Mansini, Renata ; Ogryczak, Włodzimierz ; Speranza, Maria Grazia |
| Published in: |
Stochastic optimization: theory and applications. - New York, NY, USA : Springer. - 2020, p. 883-931
|
| Subject: | Enhanced index tracking | Quantile risk measures | Conditional value-at-risk | Mean-risk models | Risk-reward ratios | Risk-averse optimization | Stochastic dominance | Linear programming | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Aktienindex | Stock index | Risiko | Risk | Messung | Measurement | Risikoaversion | Risk aversion | Index | Index number |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-020-03518-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012290853