| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6898097 | European Journal of Operational Research | 2013 | 9 Pages |
Abstract
⺠Empirical results: SSD-based portfolios consistently outperformed financial indices. ⺠These portfolios have additional practical advantages to traditional index trackers. ⺠No need of introducing binary variables to control the portfolio cardinality. ⺠Computationally: models of very large sizes are solved within seconds. ⺠Connection between enhanced indexation, SSD and multi-CVaR.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Diana Roman, Gautam Mitra, Victor Zverovich,