A new Linear Programming model for Enhanced Indexation is proposed. It has several positive features, and a good practical behavior. Computational analysis and comparison on real-world portfolio optimization problems is presented.
A Linear Risk-Return Approach to Enhanced Indexation / Bruni, Renato; F., Cesarone; A., Scozzari; Tardella, Fabio. - STAMPA. - (2012). (Intervento presentato al convegno 25th European Conference on Operational Research tenutosi a Vilnius, Lituania nel Luglio 2012).
A Linear Risk-Return Approach to Enhanced Indexation
BRUNI, Renato;TARDELLA, Fabio
2012
Abstract
A new Linear Programming model for Enhanced Indexation is proposed. It has several positive features, and a good practical behavior. Computational analysis and comparison on real-world portfolio optimization problems is presented.File allegati a questo prodotto
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