LP active benchmarking strategies based on performance measures and stochastic dominance constraints
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094777" target="_blank" >RIV/61989100:27510/15:86094777 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
LP active benchmarking strategies based on performance measures and stochastic dominance constraints
Original language description
The active benchmark tracking portfolio problem is a investment strategy which aims to exceed the performance of a selected target benchmark and it is sometimes referred to as to active portfolio management. It is well known that many professional investors achieve this benchmarking strategy: The aim of this work is to solve the benchmark tracking problem implementing active strategies to manage a portfolio with the aim to outperform the benchmark index. We develop linear formulation portfolio optimization problems which maximize some performance measures. Then, introducing first and second order stochastic dominance constraints, we evaluate their impact in the invested portfolio wealth path in a high dimensionality framework.
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
—
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Financial Management of Firms and Financial Institutions : 10th international scientific conference : 7th - 8th September 2015, Ostrava, Czech Republic : proceedings. [Part I - IV]
ISBN
978-80-248-3865-6
ISSN
2336-162X
e-ISSN
—
Number of pages
10
Pages from-to
145-154
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 7, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
—