Enhanced Indexation is the problem of selecting a portfolio that should produce excess return with respect to a given benchmark index. In this work we propose a linear bi-objective optimization approach to Enhanced Indexation that maximizes average excess return and minimizes underperformance...

This paper analyses the portfolio selection problem under the non-expected utility theory. We assume that the decision maker ranks the alternatives by using a specific Dual Expected Utility. This function allows returns which are less than or equal to a fixed benchmark to be weighted in a...