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Persistent link: https://www.econbiz.de/10011296700
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...
Persistent link: https://www.econbiz.de/10013072982
Persistent link: https://www.econbiz.de/10011644989