Paper Info
Title
Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem.
Abstract
•We model the enhanced index tracking problem based on the Omega ratio.•We introduce two nonlinear mathematical formulations.•We show how each formulation can be transformed into a linear programming model.•We extend the models to include real features.•We show the very satisfactory out-of-sample performance of the optimal portfolios.
Year
DOI
Venue
2016
10.1016/j.ejor.2015.11.037
European Journal of Operational Research
Keywords
Field
DocType
Enhanced index tracking,Omega ratio,Portfolio optimization,Linear programming,Mixed integer linear programming
Mathematical optimization,Omega ratio,Nonlinear system,Programming paradigm,Stock market index,Cardinality,Integer programming,Portfolio optimization,Linear programming,Mathematics
Journal
Volume
Issue
ISSN
251
3
0377-2217
Citations 
PageRank 
References 
10
0.58
14
Authors
4
Name
Order
Citations
PageRank
Gianfranco Guastaroba11488.95
Renata Mansini257443.10
Wlodzimierz Ogryczak374181.80
Maria Grazia Speranza4121777.86