文章基本信息

标题：A new stochastic dominance approach to enhanced index tracking problems
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作者：Renato Bruni ; Francesco Cesarone ; Andrea Scozzari 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2012
卷号：32
期号：4
页码：3460-3470
出版社：Economics Bulletin
摘要：Enhanced Index Tracking is the problem of selecting a portfolio that should generate excess return with respect to a benchmark index. Here we propose a large-size linear optimization model for Enhanced Index Tracking that selects an optimal portfolio according to a new stochastic dominance criterion and we devise an efficient constraint generation technique to solve such a model. We then compare, on several well-known and publicly available financial data sets, the performances of the portfolios selected by our model to those of the portfolios obtained with other stochastic dominance approaches. The results seem to confirm the practical usefulness of stochastic dominance for portfolio selection.
关键词：Enhanced Index Tracking; Portfolio Selection; Stochastic Dominance; Constraint Generation