ROBUST INDEX-TRACKING AND ENHANCED INDEX-TRACKING IN PORTFOLIO OPTIMIZATION

被引：0
|
作者：
Khoshabar, Nazanin Ansari [1 ]
Salahi, Maziar [1 ]
Lotfi, Somayyeh [2 ]
Hamdi, Abdelouahed [3 ]
机构：
[1] Univ Guilan, Dept Appl Math, Rasht, Iran
[2] Univ Cyprus, Dept Accounting & Finance, Nicosia, Cyprus
[3] Qatar Univ, Dept Math Stat & Phys, Doha, Qatar
来源：
ESTUDIOS DE ECONOMIA APLICADA | 2020年 / 38卷 / 01期
关键词：
Portfolio optimization; robust optimization; index-tracking; second order cone program; MANAGEMENT;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We 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.
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页数：11
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