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...

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...