Following the research strands of enhanced index tracking and of portfolio performance measures optimization, we propose to choose, among the feasible asset portfolios of a given market, the one that maximizes the geometric mean of the differences between its risk and gain and those of a suitable reference benchmark, such as the market index. This approach, which has a peculiar geometric interpretation and enjoys remarkable features, provides the efficient portfolio that dominates the largest amount of portfolios dominating the reference benchmark index. Preliminary empirical results highlight good out-of-sample performances of our approach compared with those of the market index.
Cesarone, F., Lampariello, L., & Sagratella, S. (2019). A risk-gain dominance maximization approach to enhanced index tracking. FINANCE RESEARCH LETTERS, 29, 231-238.
Titolo: | A risk-gain dominance maximization approach to enhanced index tracking | |
Autori: | ||
Data di pubblicazione: | 2019 | |
Rivista: | ||
Citazione: | Cesarone, F., Lampariello, L., & Sagratella, S. (2019). A risk-gain dominance maximization approach to enhanced index tracking. FINANCE RESEARCH LETTERS, 29, 231-238. | |
Handle: | http://hdl.handle.net/11590/338271 | |
Appare nelle tipologie: | 1.1 Articolo in rivista |