In this paper, we propose a linear bi-objective optimization model for enhanced indexation by maximizing average excess return and reducing underperformance over an observation period. The efficient frontier for this problem can be easily computed with standard LP solvers. Results are presented for well-known financial data sets where portfolios selected by our model exhibit several useful properties.
A Linear Risk-Return Model for Enhanced Indexation / Bruni, Renato; F., Cesarone; A., Scozzari; Tardella, Fabio. - ELETTRONICO. - (2012). (Intervento presentato al convegno XIII Workshop on Quantitative Finance tenutosi a L'Aquila, Italy nel 2012).
A Linear Risk-Return Model for Enhanced Indexation
BRUNI, Renato;TARDELLA, Fabio
2012
Abstract
In this paper, we propose a linear bi-objective optimization model for enhanced indexation by maximizing average excess return and reducing underperformance over an observation period. The efficient frontier for this problem can be easily computed with standard LP solvers. Results are presented for well-known financial data sets where portfolios selected by our model exhibit several useful properties.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
