Since Markowitz proposed modern portfolio theory, portfolio optimization has been being a classic topic in financial engineering. Although it is generally accepted that options help to improve the market, there is still an improvement for the portrayal of their unique properties in portfolio...

In this paper, we investigate an enhanced indexation methodology using robust Conditional Value-at-Risk (CVaR) and group-sparse optimization. A featured difference from the existing literatures is to describe the tail risk using the worst-case CVaR of excess returns (WCVaR-ER), and the process...

In this paper, we investigate an enhanced indexation methodology using robust Conditional Value-at-Risk (CVaR) and group-sparse optimization. A featured difference from the existing literatures is to describe the tail risk using the worst-case CVaR of excess returns (WCVaR-ER), and the process...

No abstract available.This paper proposes a portfolio selection model for Fund of Funds(FoFs) with the framework of mean-variance-skewness-kurtosis. Our model considers the time-varying relationship between realized higher moments and subsequent FoFs. The cardinality constraint is also included...