Game Theoretical Approach for Reliable Enhanced Indexation

References

• Agrawal S, Ding Y, Saberi A, Ye Y. Price of correlations in stochastic optimization. Oper. Res. (2012) 60(1):150–162Link, Google Scholar
• Ahmed P, Nanda S. Performance of enhanced index and quantitative index funds. Financial Rev. (2005) 40(4):459–479Crossref, Google Scholar
• Alexander C, Dimitriu A. Indexing and statistical arbitrage: Tracking error or cointegration? J. Portfolio Management (2004) 31(2):50–63Crossref, Google Scholar
• Ben-Tal A. Robust optimization—Methodology and applications. Math. Programming (2001) 92(3):453–480Crossref, Google Scholar
• Bonami P, Lejeune MA. An exact solution approach for portfolio optimization problems under stochastic and integer constraints. Oper. Res. (2009) 57(3):650–670Link, Google Scholar
• Briner BG, Connor G. How much structure is best? A comparison of market model, factor model, and unstructured equity covariance matrices. J. Risk (2008) 10(4):3–30Crossref, Google Scholar
• Calafiore GC. Ambiguous risk measures and optimal robust portfolios. SIAM J. Optim. (2007) 18(3):853–877Crossref, Google Scholar
• Camp BH. A new generalization of Tchebycheff's statistical inequality. Bull. Amer. Soc. (1922) 28:427–432Crossref, Google Scholar
• Canakgoz NA, Beasley JE. Mixed-integer programming approaches for index tracking and enhanced indexation. Eur. J. Oper. Res. (2009) 196(1):384–399Crossref, Google Scholar
• Delage E, Ye Y. Distributionally robust optimization under moment uncertainty with application to data-driven problems. Oper. Res. (2010) 58(3):595–612Link, Google Scholar
• Dembo R, Rosen D. The practice of portfolio replication, a practical overview of forward and inverse problems. Ann. Oper. Res. (1999) 85:267–284Crossref, Google Scholar
• Dupačová J. The minimax approach to stochastic programming and an illustrative application. Stochastics (1987) 20(1):73–88Crossref, Google Scholar
• Dupuăcová J. Uncertainties in minimax stochastic programs. Optim. (2011) 60(10–11):1235–1250Crossref, Google Scholar
• Filomena T, Lejeune MA. Stochastic portfolio optimization with proportional transaction costs: Convex reformulations and computational experiments. Oper. Res. Lett. (2012) . ePub ahead of print January 11, http://dx.doi.org/10.1016/j.orl.2012.01.003Crossref, Google Scholar
• Fishburn P. Mean-risk analysis with risk associated with below-target returns. Amer. Econom. Rev. (1977) 67(2):116–126Google Scholar
• Gaivoronski AA, Krylov S, van der Wijst N. Optimal portfolio selection and dynamic benchmark tracking. Eur. J. Oper. Res. (2005) 163(1):115–131Crossref, Google Scholar
• Grünwald P, Dawid P. Game theory, maximum entropy, minimum discrepancy, and robust Bayesian decision theory. Ann. Statist. (2004) 32(4):1367–1433Crossref, Google Scholar
• Klein Haneveld W. Robustness against dependence in PERT: An application of duality and distributions with known marginals. Math. Programming Stud. (1986) 27:153–182Crossref, Google Scholar
• Konno H, Suzuki K. A fast algorithm for solving large scale mean-variance models by compact factorization of covariance matrices. J. Oper. Res. Soc. Japan (1992) 35(1):93–104Google Scholar
• Lejeune MA. A VaR Black-Litterman model for the construction of absolute return fund-of-funds. Quant. Finance (2011) 11(10):1489–1501Crossref, Google Scholar
• Lejeune MA, Samatlı-Paç G. Construction of risk-averse enhanced index funds. Stochastic Programming E-Print Series (2010) . http://edoc.hu-berlin.de/docviews/abstract.php?id=37366Crossref, Google Scholar
• Li Q, Sun L, Bao L. Enhanced index tracking based on multi-objective immune algorithm. Expert Systems with Appl. (2011) 38(5):6101–6106Crossref, Google Scholar
• Meidell B. Sur un problème du calcul des probabilités et les statistiques mathématiques. Comptes rendus hebdomadaires des séances de l'Académie des Sciences Paris (1922) 173:806–808Google Scholar
• Ogryczak W, Ruszczyński A. On consistency of stochastic dominance and mean-semideviation models. Math. Programming (2001) 89(2):217–232Crossref, Google Scholar
• Parpas P, Rustem B, Floudas CA, Pardalos PM. Maximum entropy and game theory. Encyclopedia of Optimization (2009) 2nd ed.(Springer, New York) 1999–2004Crossref, Google Scholar
• Pflug G, Wozabal D. Ambiguity in portfolio selection. Quant. Finance (2007) 7(4):435–442Crossref, Google Scholar
• Popescu I. Robust mean-covariance solutions for stochastic optimization. Oper. Res. (2007) 55(1):98–112Link, Google Scholar
• Porter RB. Semivariance and stochastic dominance: A comparison. Amer. Econom. Rev. (1974) 64(1):200–204Google Scholar
• Prékopa A. Stochastic Programming (1995) (Kluwer, Boston) Crossref, Google Scholar
• Rios Insua I, Rios J, Banks D. Adversarial risk analysis. J. Amer. Statist. Assoc. (2009) 104(486):841–854Crossref, Google Scholar
• Rustem B, Howe M. Algorithms for Worst-Case Design and Applications to Risk Management (2002) (Princeton University Press, Princeton, NJ) Google Scholar
• Schoenfeld S, Yang J, Schoenfeld S. Enhanced indexing: Adding index alpha in a disciplined, risk-controlled manner. Active Index Investing (2004) (John Wiley & Sons, Hoboken, NJ) 277–296Google Scholar
• Topsøe F. Information-theoretical optimization techniques. Kybernetika (1979) 15(1):8–27Google Scholar
• Wu L, Chou S, Yang C, Ong C. Enhanced index investing based on goal programming. J. Portfolio Management (2007) 33(3):49–56Crossref, Google Scholar
• Žácková J. On minimax solutions of stochastic linear programming problems. Časopis pro pěstování matematiky (1966) 91(4):423–430Google Scholar