Show simple item record

AuthorKhoshabar, N.A.
AuthorSalahi, M.
AuthorLotfi, S.
AuthorHamdi, A.
Available date2023-09-24T07:55:32Z
Publication Date2020
Publication NameEstudios de Economia Aplicada
ResourceScopus
URIhttp://dx.doi.org/10.25115/eae.v38i1.2955
URIhttp://hdl.handle.net/10576/47875
AbstractWe study index-tracking and enhanced index-tracking problems in portfolio optimization under interval uncertainty for returns and covariance matrix. The proposed robust counterparts for both models are in the form of second order cone programs. Finally, we test the models on EUROSTOXX 50 dataset. We compare the solutions of the robust models with nominal models to show the effect of uncertainty, and compare the performance of different strategies in terms of Sharpe ratio. 2020 Ascociacion Internacional de Economia Aplicada. All rights reserved.
Languageen
PublisherAscociacion Internacional de Economia Aplicada
SubjectIndex-tracking
Portfolio optimization
Robust optimization
Second order cone program
TitleRobust index-tracking and enhanced index-tracking in portfolio optimization
TypeArticle
Issue Number1
Volume Number38
dc.accessType Abstract Only


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record