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...

Several risk-return portfolio models take into account practical limitations on the number of assets to include in the portfolio and on their weights. We present here a comparative study, both from the efficiency and from the performance viewpoint, of the Limited Asset Markowitz (LAM), the...

The classical approaches to optimal portfolio selection call for finding a feasible portfolio that optimizes a risk measure, or a gain measure, or a combination thereof by means of a utility function or of a performance measure. However, the optimization approach tends to amplify the estimation...

One of the main issues in portfolio selection models consists in assessing the effect of the estimation errors of the parameters required by the models on the quality of the selected portfolios. Several studies have been devoted to this topic for the minimum variance and for several other...

A recent popular approach to portfolio selection aims at diversifying risk by looking for the so called Risk Parity portfolios. These are defined by the condition that the risk contributions of all assets to the global risk of the portfolio are equal. The Risk Parity approach has been originally...