We propose a linear bi-objective optimization approach to the problem of finding a portfolio that maximizes average excess return with respect to a benchmark index while minimizing underperformance over a learning period. We establish some theoretical results linking classical No Arbitrage...

Enhanced Index Tracking is the problem of selecting a portfolio that should generate excess return with respect to a benchmark index. Here we propose a large-size linear optimization model for Enhanced Index Tracking that selects an optimal portfolio according to a new stochastic dominance...

Enhanced Indexation is the problem of selecting a portfolio that should produce excess return with respect to a given benchmark index. In this work we propose a linear bi-objective optimization approach to Enhanced Indexation that maximizes average excess return and minimizes underperformance...

Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean Absolute Deviation (LAMAD) and of the Limited Asset...

The classical approaches to optimal portfolio selection call for finding a feasible portfolio that optimizes a risk measure, or a gain measure, or a combination thereof by means of a utility function or of a performance measure. However, the optimization approach tends to amplify the estimation...

Several risk-return portfolio models take into account practical limitations on the number of assets to include in the portfolio and on their weights. We present here a comparative study, both from the efficiency and from the performance viewpoint, of the Limited Asset Markowitz (LAM), the...

One of the fundamental principles in portfolio selection models is minimization of risk through diversification of the investment. This seems to require that in a given working universe, or market, the investment should be spread among all (or almost all) the available assets. Indeed, this is...

One of the fundamental principles in portfolio selection models is minimization of risk through diversification of the investment. However, this principle does not necessarily translate into a request for investing in all the assets of the investment universe. Indeed, following a line of...

One of the main issues in portfolio selection models consists in assessing the effect of the estimation errors of the parameters required by the models on the quality of the selected portfolios. Several studies have been devoted to this topic for the minimum variance and for several other...