Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10243828" target="_blank" >RIV/61989100:27510/19:10243828 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints
Original language description
The book Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints analyzes the problem of optimizing the portfolio composition according to specific management styles. In particular, three main tracking strategies can be identify: passive, enhanced indexing and active. This essay addresses these problems proposing theoretical and methodological solution to maximize investors' preferences. After an introductory chapter with a rich review of the literature, Chapter 2 presents the problem of mimicing the performance of financial index considering all its components or a subset only, and it suggests a new dispersion measure of the tracking error. Chapter 3 generalizes the concept of dispersion measure reviewing the class of coherent expectation bounded risk measures for the benchmark tracking problem. Chapter 4 deals with portfolio strategies for active management and explores the portfolio optimization problem maximizing four different performance measures.
Czech name
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Czech description
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Project
<a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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