Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - Dipartimento di Economia, Università degli Studi di Roma 3 - 2012
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...