In this work, we propose a linear programming model for enhanced indexation that selects an optimal portfolio according to a generalization of strong stochastic dominance. Since our model has an exponential number of constraints, we solve it through a constraint generation procedure. Results are presented for well-known financial data sets showing good out-of-sample performance of our model.
A Linear Programming Model for Enhanced Indexation based on Strong Stochastic Dominance / Bruni, Renato; F., Cesarone; A., Scozzari; Tardella, Fabio. - STAMPA. - (2012). (Intervento presentato al convegno 25th European Conference of Operational Research tenutosi a Vilnius, Lithuania nel 2012).
A Linear Programming Model for Enhanced Indexation based on Strong Stochastic Dominance
BRUNI, Renato;TARDELLA, Fabio
2012
Abstract
In this work, we propose a linear programming model for enhanced indexation that selects an optimal portfolio according to a generalization of strong stochastic dominance. Since our model has an exponential number of constraints, we solve it through a constraint generation procedure. Results are presented for well-known financial data sets showing good out-of-sample performance of our model.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
