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 to mimic the performance of a 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 the 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.

(2019). Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints . Retrieved from http://hdl.handle.net/10446/160700

Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints

Cassader, Marco;Vitali, Sebastiano
2019-01-01

Abstract

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 to mimic the performance of a 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 the 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.
2019
Cassader, Marco; Tichy, Tomas; Vitali, Sebastiano
File allegato/i alla scheda:
File Dimensione del file Formato  
11_12_2019_SAEI-Marco Cassader-Portfolio_tisk_OBÁLKA.pdf

Solo gestori di archivio

Versione: cover/index - copertina/indice
Licenza: Licenza default Aisberg
Dimensione del file 998.1 kB
Formato Adobe PDF
998.1 kB Adobe PDF   Visualizza/Apri
MCTTSV_book.pdf

Solo gestori di archivio

Versione: postprint - versione referata/accettata senza referaggio
Licenza: Licenza default Aisberg
Dimensione del file 1.27 MB
Formato Adobe PDF
1.27 MB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/160700
Citazioni
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact