A risk-gain dominance maximization approach to enhanced index tracking
| Autor: | Simone Sagratella, Francesco Cesarone, Lorenzo Lampariello |
|---|---|
| Přispěvatelé: | Cesarone, Francesco, Lampariello, Lorenzo, Sagratella, Simone |
| Rok vydání: | 2019 |
| Předmět: |
Mathematical optimization
050208 finance Computer science 05 social sciences portfolio performance measures optimization enhanced indexation Asset allocation Maximization Stock market index asset allocation Nonlinear programming Asset allocation Portfolio performance measures optimization Enhanced indexation Nonlinear programming Dominance (economics) nonlinear programming finance 0502 economics and business Portfolio 050207 economics Geometric mean Finance |
| Zdroj: | Finance Research Letters. 29:231-238 |
| ISSN: | 1544-6123 |
| DOI: | 10.1016/j.frl.2018.08.001 |
| Popis: | Following the research strands of enhanced index tracking and of portfolio performance measures optimization, we propose to choose, among the feasible asset portfolios of a given market, the one that maximizes the geometric mean of the differences between its risk and gain and those of a suitable reference benchmark, such as the market index. This approach, which has a peculiar geometric interpretation and enjoys remarkable features, provides the efficient portfolio that dominates the largest amount of portfolios dominating the reference benchmark index. Preliminary empirical results highlight good out-of-sample performances of our approach compared with those of the market index. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect