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). ( XIII Workshop on Quantitative Finance L'Aquila, Italy 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.File allegati a questo prodotto
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